Integrated fractional Brownian motion: persistence probabilities and their estimates
Probability
2018-06-14 v1
Abstract
The problem is a log-asymptotics of the probability that the Integrated fractional Brownian motion of index 0<H<1 does not exceed a fixed level during long time. For the growing time interval (0,T) the hypothetical log-asymptotics is (H(H-1)+o(1))Log T. In support of the hypothesis, we update our earlier estimates of the probability and give analytical proofs.
Cite
@article{arxiv.1806.04949,
title = {Integrated fractional Brownian motion: persistence probabilities and their estimates},
author = {G. Molchan},
journal= {arXiv preprint arXiv:1806.04949},
year = {2018}
}
Comments
15 pages