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On the one-sided exit problem for fractional Brownian motion


 
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1. Title Title of document On the one-sided exit problem for fractional Brownian motion
 
2. Creator Author's name, affiliation, country Frank Aurzada; Technische Universität Berlin
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) First passage time; fractional Brownian motion; lower tail probability; one-sided barrier problem; one-sided exit problem; small value probability; survival exponent
 
3. Subject Subject classification 60G22; (60G15, 60G18).
 
4. Description Abstract We consider the one-sided exit problem for fractional Brownian motion (FBM), which is equivalent to the question of the distribution of the lower tail of the maximum of FBM on the unit interval. We improve the bounds given by Molchan (1999) and shed some light on the relation to the quantity I studied there.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) Research supported by the DFG Emmy Noether programme.
 
7. Date (YYYY-MM-DD) 2011-08-09
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1640
 
10. Identifier Digital Object Identifier 10.1214/ECP.v16-1640
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 16
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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