The first exit time of fractional Brownian motion with a drift from a parabolic domain

DOI10.1007/S11009-024-10074-1zbMATH Open1537.60048MaRDI QIDQ6541016FDOQ6541016

Authors: Yinbing Zhou, Dawei Lu 

Publication date: 17 May 2024

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

zbMATH Keywords

large deviationfractional Brownian motionsmall ball probabilityexit time

Mathematics Subject Classification ID

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

Cites Work

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• Universality of the asymptotics of the one-sided exit problem for integrated processes
• Brownian motion in cones
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• The First Exit Time of Fractional Brownian Motion from a Parabolic Domain
• Wienersche Spiralen und einige andere interessante Kurven im Hilbertschen Raum.
• Loss Models
• Small deviations of weighted fractional processes and average non–linear approximation

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