Boundary non-crossing probabilities for fractional Brownian motion with trend (Q2804017)
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scientific article; zbMATH DE number 6574565
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| English | Boundary non-crossing probabilities for fractional Brownian motion with trend |
scientific article; zbMATH DE number 6574565 |
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Boundary non-crossing probabilities for fractional Brownian motion with trend (English)
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27 April 2016
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fractional Brownian motion
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boundary crossings
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Cameron-Martin-Girsanov theorem
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large deviation principle
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reproducing kernel Hilbert spaces
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Molchan martingale
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trend function
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minimization problem
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0.8251813650131226
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0.8196045160293579
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0.7900563478469849
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0.7849639058113098
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0.7719327807426453
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