The first exit time of fractional Brownian motion from a parabolic domain
Probability
2020-02-11 v1
Abstract
We study the first exit time of a multi-dimensional fractional Brownian motion from unbounded domains. In particular, we are interested in the upper tail of the corresponding distribution when the domain is parabola-shaped.
Cite
@article{arxiv.1808.09731,
title = {The first exit time of fractional Brownian motion from a parabolic domain},
author = {Frank Aurzada and Mikhail Lifshits},
journal= {arXiv preprint arXiv:1808.09731},
year = {2020}
}
Comments
11pages