On the one-sided exit problem for fractional Brownian motion

DOI10.1214/ECP.V16-1640zbMATH Open1244.60042arXiv1101.5072OpenAlexW2002978492MaRDI QIDQ428670FDOQ428670

Authors: Frank Aurzada 

Publication date: 22 June 2012

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Abstract: We consider the one-sided exit problem for fractional Brownian motion (FBM), which is equivalent to the question of the distribution of the lower tail of the maximum of FBM on the unit interval. We improve the bounds given by Molchan (1999) and shed some light on the relation to the quantity $I$ studied there.

Full work available at URL: https://arxiv.org/abs/1101.5072

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zbMATH Keywords

fractional Brownian motionfirst passage timeone-sided exit problemsurvival exponentlower tail probabilitysmall value probabilityone-sided barrier problem

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Self-similar stochastic processes (60G18)

Cited In (13)

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• Maximal Inequalities for Fractional Brownian Motion: An Overview
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• Hausdorff dimension of the record set of a fractional Brownian motion
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• Persistence Probability for a Class of Gaussian Processes Related to Random Interface Models
• Lipschitz continuity in the Hurst parameter of functionals of stochastic differential equations driven by a fractional Brownian motion
• On the one-sided maximum of Brownian and random walk fragments and its applications to new exotic options called ``meander option
• Universality for persistence exponents of local times of self-similar processes with stationary increments
• Asymptotics of the Persistence Exponent of Integrated Fractional Brownian Motion and Fractionally Integrated Brownian Motion
• Statistical arbitrage under a fractal price model
• Persistence probabilities of a smooth self-similar anomalous diffusion process
• Persistence Probabilities and a Decorrelation Inequality for the Rosenblatt Process and Hermite Processes

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