Survival exponents for some Gaussian processes

Details Survival exponents for some Gaussian processes Survival exponents for some Gaussian processes

2012-03-12

arxiv.org/abs/1203.2446v1

Mathematics

Probability

18 pages, 1 figure

Scientific paper

The problem is a power-law asymptotics of the probability that a self-similar
process does not exceed a fixed level during long time. The exponent in such
asymptotics is estimated for some Gaussian processes, including the fractional
Brownian motion (FBM) in (-T1,T),T>T1>>1 and the integrated FBM in(0,T), T>>1 .

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