Unilateral small deviations of processes related to the fractional Brownian motion |
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Authors: | G. Molchan |
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Affiliation: | International Institute of Earthquake Prediction Theory and Mathematical Geophysics, Moscow, Russian Federation; The Abdus Salam International Centre for Theoretical Physics, Trieste, Russian Federation |
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Abstract: | Let x(s), s∈Rd be a Gaussian self-similar random process of index H. We consider the problem of log-asymptotics for the probability pT that x(s), x(0)=0 does not exceed a fixed level in a star-shaped expanding domain T⋅Δ as T→∞. We solve the problem of the existence of the limit, θ?lim(−logpT)/(logT)D, T→∞, for the fractional Brownian sheet x(s), s∈[0,T]2 when D=2, and we estimate θ for the integrated fractional Brownian motion when D=1. |
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Keywords: | primary 60G15 60G18 |
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