Hitting times for Gaussian processes
The authors consider a centred continuous real Gaussian process \((X_t, t\geq 0)\), its hitting times \((\tau_a)_{a> 0}\), and \[ M_t:= \exp\Biggl[\lambda X_t- {\lambda^2\over 2}\mathbb{E}(X^2_t)\Biggr],\quad\text{for }\lambda\in\mathbb{R}. \] The main result, got under regularity assumptions, is the formula: \[ \int^a_0\mathbb{E}[M_{\tau_y}]\,dy= a-\lambda\mathbb{E}\Biggl[\int^a_0 \int^1_0 M_{s(\tau_y+)+ (1- s)\tau_y}\times \rho(s(\tau_y+)(1- s)\tau_y, \tau_y)\,ds\,d\tau_y\Biggr], \] where \(\rho(u,v):= {\partial\over\partial v}\mathbb{E}(X_u, X_v)\). This is applied to the fractional Brownian motion with Hurst parameter \(H> 1/2\), to get the estimate \(\mathbb{E}[e^{-\alpha\tau^{2H}_a}]\leq e^{-a\sqrt{2\alpha}}\) (which implies that \(\mathbb{E}(\tau^{-r}_a)< \infty\) for any \(r> 0\)).
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