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On the supremum from Gaussian processes over infinite horizon
the supremum from Gaussian processes infinite horizon
2009/9/22
In the paper we study the asymptotic of the tail of
distribution function P(A(X, c) > x) for x + m, where A(X, c) is the
supremum of X(t)-ct over [0, co). In particular, X(t) is the fractional
Brow...
Asymptotics of the supremum of scaled Brownian motion
Brownian motion exponential bound fractional Brownian motion Gaussian process local time
2009/9/21
We consider the problem of estimating the tail of the
distribution of the supremum of scaled Brownian motion ~ ( j ( t )p)ro -
cesses with hear drift.
I Using the local time technique we obtain asy...