Survival Exponents for Some Gaussian Processes | Zendy

G. M. Molchan | Zendy

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Survival Exponents for Some Gaussian Processes

Author(s) -

G. M. Molchan

Publication year - 2012

Publication title -

international journal of stochastic analysis

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.19

H-Index - 28

eISSN - 2090-3340

pISSN - 2090-3332

DOI - 10.1155/2012/137271

Subject(s) - fractional brownian motion , mathematics , exponent , brownian motion , gaussian , gaussian process , statistical physics , power law , brownian excursion , geometric brownian motion , mathematical analysis , diffusion process , statistics , physics , computer science , philosophy , linguistics , innovation diffusion , knowledge management , quantum mechanics

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 , and the integrated FBM in ,

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