Survival exponents for fractional Brownian motion with multivariate time
Probability
2016-09-20 v1
Abstract
Fractional Brownian motion, H-FBM , of index with d-dimensional time is considered in a spherical domain that contains 0 at its boundary. The main result : the log-asymptotics of probability that H-FBM does not exceed a fixed positive level is (H-d)logT(1+o(1)), where T>>1 is radius of the domain.
Keywords
Cite
@article{arxiv.1609.05699,
title = {Survival exponents for fractional Brownian motion with multivariate time},
author = {G. Molchan},
journal= {arXiv preprint arXiv:1609.05699},
year = {2016}
}
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9 pages