This article is cited in 7 papers

Short Communications

The first exit time of fractional Brownian motion from a parabolic domain

F. Aurzada^a, M. A. Lifshits<sup>b

a</sup> Technische Universität Darmstadt, Fachbereich Mathematik, Darmstadt, Germany
^b Saint Petersburg State University

Abstract: We study the first exit time of a multidimensional fractional Brownian motion from unbounded domains. In particular, we are interested in the upper tail of the corresponding distribution when the domain is parabola-shaped.

Keywords: exit time, fractional Brownian motion, persistence, small deviations.

Received: 23.10.2018
Revised: 30.01.2019
Accepted: 12.02.2019

DOI: 10.4213/tvp5262

 English version: Theory of Probability and its Applications, 2019, 64:3, 490–497

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