Hitting times for Gaussian processes

Details Hitting times for Gaussian processes Hitting times for Gaussian processes

2006-06-04

arxiv.org/abs/math/0606086v3

Annals of Probability 2008, Vol. 36, No. 1, 319-330

Mathematics

Probability

Published in at http://dx.doi.org/10.1214/009117907000000132 the Annals of Probability (http://www.imstat.org/aop/) by the Ins

Scientific paper

10.1214/009117907000000132

We establish a general formula for the Laplace transform of the hitting times
of a Gaussian process. Some consequences are derived, and particular cases like
the fractional Brownian motion are discussed.

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