Hitting times for Gaussian processes

• 成果类型: Article
• 署名作者: Decreusefond, Laurent; Nualart, David
• 署名单位: IMT - Institut Mines-Telecom; Institut Polytechnique de Paris; Telecom Paris; University of Kansas
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• DOI: 10.1214/009117907000000132
• 发表日期: 2008
• 页码: 319-330
• 关键词: respect

摘要

We establish a general formula for the Laplace transform of the hitting times of a Gaussian process. Some consequences are derived, and particular cases like the fractional Brownian motion are discussed.