Mathematics – Probability
Scientific paper
2006-06-04
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.
Decreusefond Laurent
Nualart David
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