文章基本信息

标题：On the one-sided exit problem for fractional Brownian motion
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作者：Aurzada, Frank
期刊名称：Electronic Communications in Probability
印刷版ISSN：1083-589X
出版年度：2011
卷号：16
页码：392-404
DOI：10.1214/ECP.v16-1640
出版社：Electronic Communications in Probability
摘要：We consider the one-sided exit problem for fractional Brownian motion (FBM), which is equivalent to the question of the distribution of the lower tail of the maximum of FBM on the unit interval. We improve the bounds given by Molchan (1999) and shed some light on the relation to the quantity I studied there.
关键词：First passage time; fractional Brownian motion; lower tail probability; one-sided barrier problem; one-sided exit problem; small value probability; survival exponent;60G22; (60G15, 60G18).