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arXiv · 1203.2446

Survival exponents for some Gaussian processes

George Molchan
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Abstract

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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George Molchan. 2012-03-12. Survival exponents for some Gaussian processes. https://arxiv.org/abs/1203.2446

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