Boundary non-crossing probabilities for fractional Brownian motion with trend
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Publication:2804017
DOI10.1080/17442508.2015.1019882zbMath1337.60065arXiv1309.7624OpenAlexW1504565605MaRDI QIDQ2804017
Enkelejd Hashorva, Yuliya S. Mishura, Oleg Seleznjev
Publication date: 27 April 2016
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1309.7624
minimization problemfractional Brownian motionreproducing kernel Hilbert spaceslarge deviation principletrend functionboundary crossingsCameron-Martin-Girsanov theoremMolchan martingale
Related Items (6)
Optimization of small deviation for mixed fractional Brownian motion with trend ⋮ Small deviations for mixed fractional Brownian motion with trend and with Hurst index H>1/2 ⋮ Boundary noncrossings of additive Wiener fields ⋮ The joint distribution of running maximum of a Slepian process ⋮ Boundary non-crossing probabilities for Slepian process ⋮ Boundary non-crossing probabilities of Gaussian processes: sharp bounds and asymptotics
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