Khokhlov-Molchan conjecture for integrated fractional Brownian motion

Let BHB^H be fractional Brownian motion with Hurst parameter H(0,1)H\in(0,1), and define

ItH=0tBsHds.I_t^H=\int_0^tB_s^H\,\mathrm{d}s.

There is a function ρ(H)>0\rho(H)>0 such that

P[IsH1, s[0,t]]=tρ(H)+o(1).{\mathbb{P}}\left[I_s^H\le1,\ \forall s\in[0,t]\right]=t^{-\rho(H)+o(1)}.

Khokhlov-Molchan conjecture. One has

ρ(H)=H(1H).\rho(H)=H(1-H).

The value is motivated by numerical simulations and is not proved in the paper.

Sources & referencesView supporting material

Primary source

Frank Aurzada and Thomas Simon, “Persistence probabilities \& exponents”, arXiv:1203.6554 (2012).

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