Hitting times for Gaussian processes
概率论
2008-01-03 v3
摘要
We establish a general formula for the Laplace transform of the hitting times of a Gaussian process. Some consequences are derived, and particular cases like the fractional Brownian motion are discussed.
引用
@article{arxiv.math/0606086,
title = {Hitting times for Gaussian processes},
author = {Laurent Decreusefond and David Nualart},
journal= {arXiv preprint arXiv:math/0606086},
year = {2008}
}
备注
Published in at http://dx.doi.org/10.1214/009117907000000132 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)