Boundary non-crossing probabilities for fractional Brownian motion with trend

DOI10.1080/17442508.2015.1019882zbMATH Open1337.60065arXiv1309.7624OpenAlexW1504565605MaRDI QIDQ2804017FDOQ2804017

Enkelejd Hashorva, Yuliya S. Mishura, Oleg Seleznjev

Publication date: 27 April 2016

Published in: Stochastics (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1309.7624

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zbMATH Keywords

reproducing kernel Hilbert spacesfractional Brownian motionlarge deviation principleminimization problemtrend functionboundary crossingsCameron-Martin-Girsanov theoremMolchan martingale

Mathematics Subject Classification ID

Large deviations (60F10) Fractional processes, including fractional Brownian motion (60G22)

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Cited In (10)

• 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
• Boundary non-crossing probabilities of Gaussian processes: sharp bounds and asymptotics
• 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
• Small deviations for mixed fractional Brownian motion with trend and with Hurst index H>1/2
• Drawdown and drawup for fractional Brownian motion with trend
• Distribution of Trend Height and Length for Brownian Motion with a Drift

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