Factional Brownian motion with multivariate time in a large convex area: persistence exponents
classification
🧮 math.PR
keywords
boundarybrownianconsideredconvexh-fbmmotionresulttime
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The fractional Brownian motion of index $0 < H < 1$, H-FBM, with d-dimensional time is considered on an expanding set TG, where G is a bounded convex domain that contains 0 at its boundary. The main result: if 0 is a point of smoothness of the boundary, then the log-asymptotics of probability that H-FBM does not exceed a fixed positive level in TG is $(H - d + o(1)) \log T$, $T\to\infty$. Some generalizations of this result to isotropic but not self-similar Gaussian processes with stationary increments are also considered.
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