Hitting times for Gaussian processes

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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.
Published in at http://dx.doi.org/10.1214/009117907000000132 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)

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Probability, 60H05 (Primary) 60G15, 60H07 (Secondary)

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http://salesiana.dossiersoluciones.com/handle/123456789/145205

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0606086
 http://arxiv.org/abs/math/0606086
 Annals of Probability 2008, Vol. 36, No. 1, 319-330
 doi:10.1214/009117907000000132

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arXiv