Fractional Brownian motion satisfies two-way crossing

DOI10.3150/16-BEJ858zbMath1407.60057MaRDI QIDQ2405166

Rémi Peyre

Publication date: 21 September 2017

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1495505102

zbMATH Keywords

fractional Brownian motionstopping timelaw of the iterated logarithmtwo-way crossing

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stopping times; optimal stopping problems; gambling theory (60G40)

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