arXiv Analytics

Sign in

arXiv:1609.05699 [math.PR]AbstractReferencesReviewsResources

Survival exponents for fractional Brownian motion with multivariate time

G. Molchan

Published 2016-09-19Version 1

Fractional Brownian motion, H-FBM , of index with d-dimensional time is considered in a spherical domain that contains 0 at its boundary. The main result : the log-asymptotics of probability that H-FBM does not exceed a fixed positive level is (H-d)logT(1+o(1)), where T>>1 is radius of the domain.

Comments: 9 pages
Categories: math.PR
Subjects: 60G15, 60G18, 60G60, G.3
Related articles: Most relevant | Search more
arXiv:math/0310413 [math.PR] (Published 2003-10-26)
Unilateral Small Deviations for the Integral of Fractional Brownian Motion
arXiv:math/0602356 [math.PR] (Published 2006-02-16, updated 2007-05-04)
On the connection between Molchan-Golosov and Mandelbrot-Van Ness representations of fractional Brownian motion
arXiv:math/0511027 [math.PR] (Published 2005-11-01, updated 2007-10-18)
A simple theory for the study of SDEs driven by a fractional Brownian motion, in dimension one

Links

Toolbox