Hitting times for Gaussian processes

DOI10.1214/009117907000000132zbMath1135.60019arXivmath/0606086OpenAlexW2124150141MaRDI QIDQ2468429

Laurent Decreusefond, David Nualart

Publication date: 22 January 2008

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0606086

zbMATH Keywords

fractional Brownian motionhitting times

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (15)

First passage times over stochastic boundaries for subdiffusive processes ⋮ An integrate-and-fire model to generate spike trains with long-range dependence ⋮ Convergence of the empirical spectral distribution of Gaussian matrix-valued processes ⋮ Bounds for the expected supremum of some non-stationary Gaussian processes ⋮ Numerical computation of hitting time distributions of increasing Lévy processes ⋮ First-exit times of an inverse Gaussian process ⋮ Functional limit theorems for a new class of non-stationary shot noise processes ⋮ Itô's formula for linear fractional PDEs ⋮ On the first-passage times of certain Gaussian processes, and related asymptotics ⋮ Maximal Inequalities for Fractional Brownian Motion: An Overview ⋮ An inverse first-passage problem revisited: the case of fractional Brownian motion, and time-changed Brownian motion ⋮ Extinction time of non-Markovian self-similar processes, persistence, annihilation of jumps and the Fréchet distribution ⋮ Sample paths estimates for stochastic fast-slow systems driven by fractional Brownian motion ⋮ Stochastic representation and path properties of a fractional Cox–Ingersoll–Ross process ⋮ Shot noise processes with randomly delayed cluster arrivals and dependent noises in the large-intensity regime

Cites Work

• Cube root asymptotics
• Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
• On the Maximum of a Fractional Brownian Motion
• Stochastic calculus with respect to Gaussian processes
• Unnamed Item

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