Boundary non-crossing probabilities for fractional Brownian motion with trend
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Publication:2804017
Abstract: In this paper we investigate the boundary non-crossing probabilities of a fractional Brownian motion considering some general deterministic trend function. We derive bounds for non-crossing probabilities and discuss the case of a large trend function. As a by-product we solve a minimization problem related to the norm of the trend function.
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Cited in
(11)- Boundary noncrossings of additive Wiener fields
- An Asymptotic Result for Non Crossing Probabilities of Brownian Motion with Trend
- The joint distribution of running maximum of a Slepian process
- Small deviations for mixed fractional Brownian motion with trend and with Hurst index \(H>1/2\)
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- Boundary non-crossing probabilities for Slepian process
- Optimization of small deviation for mixed fractional Brownian motion with trend
- A lower bound for boundary crossing probabilities of Brownian bridge/motion with trend
- Persistence of fractional Brownian motion with moving boundaries and applications
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- Distribution of Trend Height and Length for Brownian Motion with a Drift
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