Boundary non-crossing probabilities for fractional Brownian motion with trend
Details
State: Public
Version: author
License: Not specified
Serval ID
serval:BIB_F1898192883D
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Boundary non-crossing probabilities for fractional Brownian motion with trend
Journal
Stochastics An International Journal of Probability and Stochastic Processes
ISSN
1744-2508 (Print)
1744-2516 (Electronic)
1744-2516 (Electronic)
Publication state
Published
Issued date
2015
Peer-reviewed
Oui
Volume
87
Number
6
Pages
946-965
Language
english
Abstract
In this paper, we investigate the boundary non-crossing probabilities of a fractional Brownian motion considering some general deterministic trend function. We derive bounds for non-crossing probabilities and discuss the case of a large trend function. As a by-product, we solve a minimization problem related to the norm of the trend function.
Keywords
boundary crossings, Cameron-Martin-Girsanov theorem, reproducing kernel Hilbert space, large deviation principle, Molchan martingale, fractional Brownian motion
Web of science
Create date
12/02/2015 14:57
Last modification date
20/08/2019 17:19
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