The First Exit Time of Fractional Brownian Motion from a Parabolic Domain

DOI10.1137/S0040585X97T989659zbMath1480.60088arXiv1808.09731OpenAlexW2889413215MaRDI QIDQ5240325

Frank Aurzada, Mikhail Lifshits

Publication date: 25 October 2019

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

Full work available at URL: https://arxiv.org/abs/1808.09731

zbMATH Keywords

fractional Brownian motionpersistenceexit timesmall deviations

Mathematics Subject Classification ID

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

Related Items (2)

The first exit time of fractional Brownian motion from the minimum and maximum parabolic domains ⋮ Probability density of fractional Brownian motion and the fractional Langevin equation with absorbing walls

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