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The first exit time of fractional Brownian motion from a parabolic domain. / Aurzada, Frank; Lifshits, M. A. .

In: ТЕОРИЯ ВЕРОЯТНОСТЕЙ И ЕЕ ПРИМЕНЕНИЯ, Vol. 64, No. 3, 27.07.2019, p. 490-497.

Research output: Contribution to journal › Article › peer-review

Harvard

Aurzada, F & Lifshits, MA 2019, 'The first exit time of fractional Brownian motion from a parabolic domain', ТЕОРИЯ ВЕРОЯТНОСТЕЙ И ЕЕ ПРИМЕНЕНИЯ, vol. 64, no. 3, pp. 490-497. https://doi.org/10.1137/S0040585X97T989659

APA

Aurzada, F., & Lifshits, M. A. (2019). The first exit time of fractional Brownian motion from a parabolic domain. ТЕОРИЯ ВЕРОЯТНОСТЕЙ И ЕЕ ПРИМЕНЕНИЯ, 64(3), 490-497. https://doi.org/10.1137/S0040585X97T989659

Vancouver

Aurzada F, Lifshits MA. The first exit time of fractional Brownian motion from a parabolic domain. ТЕОРИЯ ВЕРОЯТНОСТЕЙ И ЕЕ ПРИМЕНЕНИЯ. 2019 Jul 27;64(3):490-497. https://doi.org/10.1137/S0040585X97T989659

Author

Aurzada, Frank ; Lifshits, M. A. . / The first exit time of fractional Brownian motion from a parabolic domain. In: ТЕОРИЯ ВЕРОЯТНОСТЕЙ И ЕЕ ПРИМЕНЕНИЯ. 2019 ; Vol. 64, No. 3. pp. 490-497.

BibTeX

@article{9747b02f1ff14886b949c0b59a9c6106,
title = "The first exit time of fractional Brownian motion from a parabolic domain",
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",
author = "Frank Aurzada and Lifshits, {M. A.}",
note = "Publisher Copyright: {\textcopyright} by SIAM. Unauthorized reproduction of this article is prohibited.",
year = "2019",
month = jul,
day = "27",
doi = "10.1137/S0040585X97T989659",
language = "English",
volume = "64",
pages = "490--497",
journal = "ТЕОРИЯ ВЕРОЯТНОСТЕЙ И ЕЕ ПРИМЕНЕНИЯ",
issn = "0040-361X",
publisher = "Математический институт им. В.А. Стеклова РАН",
number = "3",

}

RIS

TY - JOUR

T1 - The first exit time of fractional Brownian motion from a parabolic domain

AU - Aurzada, Frank

AU - Lifshits, M. A.

N1 - Publisher Copyright: © by SIAM. Unauthorized reproduction of this article is prohibited.

PY - 2019/7/27

Y1 - 2019/7/27

N2 - 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.

AB - 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.

KW - Exit time

KW - Fractional Brownian motion

KW - Persistence

KW - Small deviations

UR - http://www.scopus.com/inward/record.url?scp=85074334553&partnerID=8YFLogxK

UR - http://www.mendeley.com/research/first-exit-time-fractional-brownian-motion-parabolic-domainthe-first-exit-time-fractional-brownian-m

U2 - 10.1137/S0040585X97T989659

DO - 10.1137/S0040585X97T989659

M3 - Article

VL - 64

SP - 490

EP - 497

JO - ТЕОРИЯ ВЕРОЯТНОСТЕЙ И ЕЕ ПРИМЕНЕНИЯ

JF - ТЕОРИЯ ВЕРОЯТНОСТЕЙ И ЕЕ ПРИМЕНЕНИЯ

SN - 0040-361X

IS - 3

ER -

ID: 43949083