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Teoriya Veroyatnostei i ee Primeneniya, 2019, Volume 64, Issue 3, Pages 610–620
DOI: https://doi.org/10.4213/tvp5262 (Mi tvp5262) 		 
This article is cited in 7 scientific papers (total in 7 papers)

Short Communications

The first exit time of fractional Brownian motion from a parabolic domain

F. Aurzadaa, M. A. Lifshitsb

a Technische Universität Darmstadt, Fachbereich Mathematik, Darmstadt, Germany
b Saint Petersburg State University
Full-text PDF (456 kB) Citations (7)
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DOI: https://doi.org/10.4213/tvp5262
Abstract: We study the first exit time of a multidimensional fractional Brownian motion from unbounded domains. In particular, we are interested in the upper tail of the corresponding distribution when the domain is parabola-shaped.
Keywords: exit time, fractional Brownian motion, persistence, small deviations.
Funding agency Grant number
Russian Foundation for Basic Research 16-01-00258
Deutsche Forschungsgemeinschaft GO420/6-1
Saint Petersburg State University 6.65.37.2017
This research was supported by the Russian Foundation for Basic Research (grant 16-01-00258) and by the coordinated grants of DFG (GO420/6-1) and St. Petersburg State University (6.65.37.2017).
Received: 23.10.2018
Revised: 30.01.2019
Accepted: 12.02.2019
English version:
Theory of Probability and its Applications, 2019, Volume 64, Issue 3, Pages 490–497
DOI: https://doi.org/10.1137/S0040585X97T989659
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: F. Aurzada, M. A. Lifshits, “The first exit time of fractional Brownian motion from a parabolic domain”, Teor. Veroyatnost. i Primenen., 64:3 (2019), 610–620; Theory Probab. Appl., 64:3 (2019), 490–497
Citation in format AMSBIB
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    • This publication is cited in the following 7 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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