The persistence asymptotic conjecture for fractional Brownian motion
The persistence asymptotic conjecture for fractional Brownian motion
Let be fractional Brownian motion with Hurst parameter , let , and define . The fractional Brownian persistence conjecture. For every ,
Molchan proved the corresponding logarithmic exponent, while the two-sided estimate with comparable constants is presented here as open.
Sources & referencesView supporting material
Primary source
Frank Aurzada and Thomas Simon, “Persistence probabilities \& exponents”, arXiv:1203.6554 (2012).
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