Hitting times for Gaussian processes

Laurent Decreusefond; David Nualart

doi:10.1214/009117907000000132

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Home > Journals > Ann. Probab. > Volume 36 > Issue 1 > Article

January 2008 Hitting times for Gaussian processes

Laurent Decreusefond, David Nualart

Ann. Probab. 36(1): 319-330 (January 2008). DOI: 10.1214/009117907000000132

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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.

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Laurent Decreusefond. David Nualart. "Hitting times for Gaussian processes." Ann. Probab. 36 (1) 319 - 330, January 2008. https://doi.org/10.1214/009117907000000132