arXiv:1203.2446 Abstract | arXiv Analytics

arXiv:1203.2446 [math.PR]Abstract References Reviews Resources

Survival exponents for some Gaussian processes

Published 2012-03-12Version 1

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 .

Comments: 18 pages, 1 figure

Categories: math.PR

Keywords: gaussian processes, survival exponents, fractional brownian motion, self-similar process, long time

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