The first exit time of fractional Brownian motion with a drift from a parabolic domain

DOI10.1007/s11009-024-10074-1zbMath1537.60048MaRDI QIDQ6541016

Dawei Lu, Yinbing Zhou

Publication date: 17 May 2024

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motionlarge deviationexit timesmall ball probability

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Large deviations (60F10)

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