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

DOI10.1007/S11009-024-10074-1MaRDI QIDQ6541016zbMATHFDO

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)

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Cites work

• scientific article; zbMATH DE number 1158743 (Why is no real title available?)
• scientific article; zbMATH DE number 782652 (Why is no real title available?)
• Brownian motion in cones
• Existence of small ball constants for fractional Brownian motions
• Fractional Brownian Motions, Fractional Noises and Applications
• Lim inf results for Gaussian samples and Chung's functional LIL
• Loss models. From data to decisions
• Maximum of a fractional Brownian motion: Probabilities of small values
• Small deviations of weighted fractional processes and average non–linear approximation
• Some Theorems Concerning 2-Dimensional Brownian Motion
• The first exit time of Brownian motion form a parabolic domain
• The first exit time of a Brownian motion from an unbounded convex domain
• The first exit time of fractional Brownian motion from a parabolic domain
• The first exit time of planar Brownian motion from the interior of a parabola
• Theory of reproducing kernels and applications
• Universality of the asymptotics of the one-sided exit problem for integrated processes
• Wienersche Spiralen und einige andere interessante Kurven im Hilbertschen Raum.

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