Stochastic ordering for hitting times of fractional Brownian motions

DOI10.1016/J.SPL.2024.110053MaRDI QIDQ6540905zbMATH OpenFDO

Authors Ulises Pérez Cendejas, Gerardo Pérez Suárez

Publication date 17 May 2024

Published in Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motionhitting timesstochastic order

Mathematics Subject Classification ID

Gaussian processes (60G15) Inequalities; stochastic orderings (60E15) Fractional processes, including fractional Brownian motion (60G22)

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Cites work

• scientific article; zbMATH DE number 3446146 (Why is no real title available?)
• An inverse first-passage problem revisited: the case of fractional Brownian motion, and time-changed Brownian motion
• Bounds for expected maxima of Gaussian processes and their discrete approximations
• Derivatives of sup-functionals of fractional Brownian motion evaluated at \(H=\frac{1}{2}\)
• Hitting times for Gaussian processes
• Level Sets and Extrema of Random Processes and Fields
• Maximal Inequalities for Fractional Brownian Motion: An Overview
• New and refined bounds for expected maxima of fractional Brownian motion
• On fractional differentiable \(s\)-convex functions
• On the first-passage times of certain Gaussian processes, and related asymptotics
• Smoothness of the law of the supremum of the fractional Brownian motion
• Some remarks on \(s\)-convex functions
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Stochastic calculus for Gaussian processes and application to hitting times
• Stochastic ordering for continuous-time processes

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