Asymptotics of the Persistence Exponent of Integrated Fractional Brownian Motion and Fractionally Integrated Brownian Motion

DOI10.1137/S0040585X97T990769zbMath1492.60094arXiv2007.01254OpenAlexW4229020593MaRDI QIDQ5074422

Martin Kilian, Frank Aurzada

Publication date: 9 May 2022

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2007.01254

zbMATH Keywords

Gaussian processpersistencestationary processone-sided exit problemRiemann-Liouville processintegrated fractional Brownian motionzero crossing

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22)

Related Items (2)

Persistence probabilities of mixed FBM and other mixed processes ⋮ Persistence probabilities of a smooth self-similar anomalous diffusion process

Cites Work

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