Optimization of small deviation for mixed fractional Brownian motion with trend

DOI10.1080/17442508.2018.1478835zbMath1498.60150arXiv1806.04998OpenAlexW2808547438WikidataQ129695059 ScholiaQ129695059MaRDI QIDQ5086459

Anne MacKay, Yuliya S. Mishura, Alexander V. Melnikov

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1806.04998

zbMATH Keywords

trendtwo-sided boundsfractional calculusGirsanov theoremFredholm equationsmall ball probabilitymaximization of the lower boundmixed Brownian-fractional Brownian processzero trend

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Limit theorems in probability theory (60F99)

Related Items (3)

Small deviations for mixed fractional Brownian motion with trend and with Hurst index H>1/2 ⋮ Mixed fractional Brownian motion: a spectral take ⋮ Minimization of the entropy for a mixture of standard and fractional Brownian motions

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