Abstract
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.
| Original language | English |
|---|---|
| Pages (from-to) | 319-330 |
| Number of pages | 12 |
| Journal | Annals of Probability |
| Volume | 36 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 1 Jan 2008 |
Keywords
- Fractional Brownian motion
- Hitting times
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