On the one-sided exit problem for fractional Brownian motion
Probability
2011-01-27 v1
Abstract
We consider the one-sided exit problem for fractional Brownian motion (FBM), which is equivalent to the question of the distribution of the lower tail of the maximum of FBM on the unit interval. We improve the bounds given by Molchan (1999) and shed some light on the relation to the quantity studied there.
Keywords
Cite
@article{arxiv.1101.5072,
title = {On the one-sided exit problem for fractional Brownian motion},
author = {Frank Aurzada},
journal= {arXiv preprint arXiv:1101.5072},
year = {2011}
}
Comments
16p