Publication: Persistence probabilities of mixed FBM ...
Master data
| Title: | Persistence probabilities of mixed FBM and other mixed processes |
| Subtitle: | |
| Abstract: | We consider the sum of two self-similar centred Gaussian processes with different self-similarity indices. Under non-negativity assumptions of covariance functions and some further minor conditions, we show that the asymptotic behaviour of the persistence probability of the sum is the same as for the single process with the greater self-similarity index. In particular, this covers the mixed fractional Brownian motion introduced in Cheridito. |
| Keywords: | fractional Brownian motion, Gaussian process, mixed processes, persistence, reproducing kernel Hilbert space, self-similarity, stationary process |
| Publication type: | Article in journal (Authorship) |
| Publication date: | 14.07.2022 (Online) |
| Published by: |
Journal of Physics A: Mathematical and Theoretical
Journal of Physics A: Mathematical and Theoretical
(
IOPScience ;
)
to publication |
| Title of the series: | - |
| Volume number: | - |
| Issue: | - |
| First publication: | Yes |
| Version: | - |
| Page: | pp. 1 - 17 |
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| Keine Version vorhanden |
| Publication date: | 14.07.2022 |
| ISBN (e-book): | - |
| eISSN: | - |
| DOI: | - |
| Homepage: | https://iopscience.iop.org/article/10.1088/1751-8121/ac7bbc |
| Open access |
|
| Publication date: | 29.07.2022 |
| ISBN: | - |
| ISSN: | - |
| Homepage: | - |
Assignment
| Organisation | Address | ||
|---|---|---|---|
|
Fakultät für Technische Wissenschaften
Institut für Statistik
|
AT - 9020 Klagenfurt am Wörthersee |
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| Peer reviewed |
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Cooperations
| Organisation | Address | ||
|---|---|---|---|
Technical University of Darmstadt
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DE - 64289 Darmstadt |
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