Survival exponents for some Gaussian processes (Q1929670)
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scientific article; zbMATH DE number 6123587
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| English | Survival exponents for some Gaussian processes |
scientific article; zbMATH DE number 6123587 |
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Survival exponents for some Gaussian processes (English)
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9 January 2013
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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 \((0, T)\), \(T \gg 1\).
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power-law asymptotics
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fractional Brownian motion
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integrated fractional Brownian motion
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0.7918878793716431
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0.7879511713981628
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0.7819433808326721
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0.778856098651886
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0.7687150835990906
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