Stochastic ordering for hitting times of fractional Brownian motions
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Publication:6540905
DOI10.1016/J.SPL.2024.110053zbMATH Open1537.60045MaRDI QIDQ6540905FDOQ6540905
Authors: Ulises Pérez Cendejas, Gerardo Pérez Suárez 
Publication date: 17 May 2024
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Recommendations
Gaussian processes (60G15) Inequalities; stochastic orderings (60E15) Fractional processes, including fractional Brownian motion (60G22)
Cites Work
- Some remarks on \(s\)-convex functions
- Level Sets and Extrema of Random Processes and Fields
- Stochastic Calculus for Fractional Brownian Motion and Applications
- Stochastic ordering for continuous-time processes
- Hitting times for Gaussian processes
- Bounds for expected maxima of Gaussian processes and their discrete approximations
- Stochastic calculus for Gaussian processes and application to hitting times
- Title not available (Why is that?)
- New and refined bounds for expected maxima of fractional Brownian motion
- On the first-passage times of certain Gaussian processes, and related asymptotics
- An inverse first-passage problem revisited: the case of fractional Brownian motion, and time-changed Brownian motion
- Smoothness of the law of the supremum of the fractional Brownian motion
- Maximal Inequalities for Fractional Brownian Motion: An Overview
- Derivatives of sup-functionals of fractional Brownian motion evaluated at \(H=\frac{1}{2}\)
- On fractional differentiable \(s\)-convex functions
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