Optimization of small deviation for mixed fractional Brownian motion with trend (Q5086459)

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scientific article; zbMATH DE number 7553398
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Optimization of small deviation for mixed fractional Brownian motion with trend
scientific article; zbMATH DE number 7553398

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    Optimization of small deviation for mixed fractional Brownian motion with trend (English)
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    5 July 2022
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    mixed Brownian-fractional Brownian process
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    fractional calculus
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    small ball probability
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    trend
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    zero trend
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    maximization of the lower bound
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    Fredholm equation
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    Girsanov theorem
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    two-sided bounds
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