Small deviations for mixed fractional Brownian motion with trend and with Hurst index H>1/2

DOI10.1080/17442508.2019.1652609zbMath1490.60088OpenAlexW2969196542MaRDI QIDQ5086513

Vitalii Makogin, Yuliya S. Mishura

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2019.1652609

zbMATH Keywords

trendtwo-sided boundsfractional calculusGirsanov theoremFredholm equationsmall ball probabilitymixed Brownian-fractional Brownian process

Mathematics Subject Classification ID

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

Related Items (1)

Least-squares estimation for the Vasicek model driven by the complex fractional Brownian motion

Cites Work

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• Calculus of variations with fractional derivatives and fractional integrals
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• Mixed fractional Brownian motion: a spectral take
• Stochastic calculus for fractional Brownian motion and related processes.
• Boundary non-crossing probabilities for fractional Brownian motion with trend
• Optimization of small deviation for mixed fractional Brownian motion with trend

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