On the one-sided exit problem for fractional Brownian motion (Q428670)
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scientific article
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| English | On the one-sided exit problem for fractional Brownian motion |
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On the one-sided exit problem for fractional Brownian motion (English)
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22 June 2012
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first passage time
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fractional Brownian motion
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lower tail probability
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one-sided barrier problem
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one-sided exit problem
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small value probability
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survival exponent
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0.7812600135803223
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0.776965320110321
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0.7721001505851746
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0.7636757493019104
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0.7524461150169373
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