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
The first part of this thesis studies tail probabilities forelliptical distributions and probabiliti...
In this thesis, we deal with several persistence problems for fractional processes. Persistence conc...
Let $B$ be a Brownian motion with paths in $C([0,1])$ and covariance kernel $K(s,t)=\min\{s,t\}$ and...
In this paper, we investigate the boundary non-crossing probabilities of a fractional Brownian motio...
Let B 0(s,t) be a Brownian pillow with continuous sample paths, and let h,u:[0,1]2→ℝ be two measurab...
Abstract. In the paper we study the asymptotic of the tail of distribution function P ( A ( X, c)&g...
We consider the persistence probability for the integrated fractional Brownian motion and the fracti...
We consider a signal--plus--noise model $B_0+h$ with Brownian bridge $B_0$ as noise and $h$ as signa...
AbstractOur main intention is to describe the behavior of the (cumulative) distribution function of ...
We provide upper and lower bounds for the mean M (H) of supp t≥0{BH (t)} , with BH (.) a zero-mean, ...
We consider the drawdown and drawup of a fractional Brownian motion with trend, which corresponds to...
In this paper, we find bounds on the distribution of the maximum loss of fractional Brownian motion ...
Let {W (i) (t), t a a"e(+)}, i = 1, 2, be two Wiener processes, and let W (3) = {W (3)(t), t a a"e (...
Let (Xt) denote a diusion process driven by a Brownian motion (Wt). We analyze the problem of comput...
International audienceWe consider the problem of efficient estimation for the drift of fractional Br...
The first part of this thesis studies tail probabilities forelliptical distributions and probabiliti...
In this thesis, we deal with several persistence problems for fractional processes. Persistence conc...
Let $B$ be a Brownian motion with paths in $C([0,1])$ and covariance kernel $K(s,t)=\min\{s,t\}$ and...
In this paper, we investigate the boundary non-crossing probabilities of a fractional Brownian motio...
Let B 0(s,t) be a Brownian pillow with continuous sample paths, and let h,u:[0,1]2→ℝ be two measurab...
Abstract. In the paper we study the asymptotic of the tail of distribution function P ( A ( X, c)&g...
We consider the persistence probability for the integrated fractional Brownian motion and the fracti...
We consider a signal--plus--noise model $B_0+h$ with Brownian bridge $B_0$ as noise and $h$ as signa...
AbstractOur main intention is to describe the behavior of the (cumulative) distribution function of ...
We provide upper and lower bounds for the mean M (H) of supp t≥0{BH (t)} , with BH (.) a zero-mean, ...
We consider the drawdown and drawup of a fractional Brownian motion with trend, which corresponds to...
In this paper, we find bounds on the distribution of the maximum loss of fractional Brownian motion ...
Let {W (i) (t), t a a"e(+)}, i = 1, 2, be two Wiener processes, and let W (3) = {W (3)(t), t a a"e (...
Let (Xt) denote a diusion process driven by a Brownian motion (Wt). We analyze the problem of comput...
International audienceWe consider the problem of efficient estimation for the drift of fractional Br...
The first part of this thesis studies tail probabilities forelliptical distributions and probabiliti...
In this thesis, we deal with several persistence problems for fractional processes. Persistence conc...
Let $B$ be a Brownian motion with paths in $C([0,1])$ and covariance kernel $K(s,t)=\min\{s,t\}$ and...