Survival exponents for some Gaussian processes (Q1929670)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Survival exponents for some Gaussian processes |
scientific article |
Statements
Survival exponents for some Gaussian processes (English)
0 references
9 January 2013
0 references
Summary: The problem is the 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 \((-T_{-}, T)\), \(T \geq T_{-} \gg 1\), and the integrated FBM in \((0, T)\), \(T \gg 1\).
0 references
power-law asymptotics
0 references
fractional Brownian motion
0 references
integrated fractional Brownian motion
0 references
