Boundary non-crossing probabilities for fractional Brownian motion with trend
classification
🧮 math.PR
keywords
trendfunctionnon-crossingprobabilitiesboundarybrownianfractionalmotion
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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.
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