Survival exponents for some Gaussian processes
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Publication:1929670
Abstract: The problem is a 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 (-T1,T),T>T1>>1 and the integrated FBM in(0,T), T>>1 .
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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Cites work
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Cited in
(15)- Persistence of Gaussian processes: non-summable correlations
- Persistence exponents for Gaussian random fields of fractional Brownian motion type
- Approximating Shepp's constants for the Slepian process
- The inviscid Burgers equation with fractional Brownian initial data: the dimension of regular Lagrangian points
- Universality for persistence exponents of local times of self-similar processes with stationary increments
- Persistence probabilities and exponents
- Survival exponents for fractional Brownian motion with multivariate time
- Persistence Probabilities and a Decorrelation Inequality for the Rosenblatt Process and Hermite Processes
- No zero-crossings for random polynomials and the heat equation
- Spectral asymptotics for a class of integro-differential equations arising in the theory of fractional Gaussian processes
- Asymptotics of the persistence exponent of integrated fractional Brownian motion and fractionally integrated Brownian motion
- Persistence and ball exponents for Gaussian stationary processes
- Persistence probabilities of spherical fractional Brownian motion
- Geometry of the Ising persistence problem and the universal Bonnet-Manin Painlevé VI distribution
- Unilateral small deviations of processes related to the fractional Brownian motion
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