Survival Exponents for Some Gaussian Processes
Copyright policy )Survival Exponents for Some Gaussian Processes
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 , .
- Russian Academy of Sciences Russian Federation
- Institute of Earthquake Prediction Theory and Mathematical Geophysics Russian Federation
power-law asymptotics, Probability (math.PR), fractional Brownian motion, FOS: Mathematics, Self-similar stochastic processes, Gaussian processes, Fractional processes, including fractional Brownian motion, integrated fractional Brownian motion, Mathematics - Probability
power-law asymptotics, Probability (math.PR), fractional Brownian motion, FOS: Mathematics, Self-similar stochastic processes, Gaussian processes, Fractional processes, including fractional Brownian motion, integrated fractional Brownian motion, Mathematics - Probability
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