The First Exit Time of Fractional Brownian Motion with a Drift from a Parabolic Domain
Author:
Funder
Dalian High-Level Talent Innovation Program
National Natural Science Foundation of China
Fundamental Research Funds for the Central Universities
Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s11009-024-10074-1.pdf
Reference20 articles.
1. Aurzada F, Dereich S (2013) Universality of the asymptotics of the one-sided exit problem for integrated processes. Ann Inst Henri Poincaré Probab Statist 49(1):236–251. https://doi.org/10.1214/11-AIHP427
2. Aurzada F, Lifshits MA (2019) The first exit time of fractional brownian motion from a parabolic domain. Theory Probab Appl 64(3):490–497. https://doi.org/10.1137/S0040585X97T989659
3. Bañuelos R, Smits RG (1997) Brownian motion in cones. Probab Theory Relat Fields 108(1):299–319. https://doi.org/10.1007/s004400050111
4. Bañuelos R, DeBlassie RD, Smits R (2001) The first exit time of planar Brownian motion from the interior of a parabola. Ann Probab 29(2):882–901. https://doi.org/10.1214/aop/1008956696
5. DeBlassie RD (1988) Remark on: Exit times from cones in $${ R}^n$$ of Brownian motion. Probab Theory Related Fields 79(1):95–97. https://doi.org/10.1007/BF00319106
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