Survival exponents for some Gaussian processes
Probability
2012-03-13 v1
Abstract
The problem is a power-law asymptotics of the probability that a self-similar process does not exceed a fixed level during long time. The exponent in such asymptotics is estimated for some Gaussian processes, including the fractional Brownian motion (FBM) in (-T1,T),T>T1>>1 and the integrated FBM in(0,T), T>>1 .
Cite
@article{arxiv.1203.2446,
title = {Survival exponents for some Gaussian processes},
author = {George Molchan},
journal= {arXiv preprint arXiv:1203.2446},
year = {2012}
}
Comments
18 pages, 1 figure