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Hitting times for Gaussian processes

Laurent Decreusefond·David Nualart
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Abstract

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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Laurent Decreusefond, David Nualart. 2007-12-27. Hitting times for Gaussian processes. https://doi.org/10.1214/009117907000000132

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