Boundary non-crossing probabilities for fractional Brownian motion with trend
Probability
2013-10-01 v1
Abstract
In this paper we investigate the boundary non-crossing probabilities of a fractional Brownian motion considering some general deterministic trend function. We derive bounds for non-crossing probabilities and discuss the case of a large trend function. As a by-product we solve a minimization problem related to the norm of the trend function.
Keywords
Cite
@article{arxiv.1309.7624,
title = {Boundary non-crossing probabilities for fractional Brownian motion with trend},
author = {Enkelejd Hashorva and Yuliya Mishura and Oleg Seleznjev},
journal= {arXiv preprint arXiv:1309.7624},
year = {2013}
}
Comments
17 pages