Boundary non-crossing probabilities for fractional Brownian motion with trend
arXiv:1309.7624
Abstract
In this paper we investigate the boundary non-crossing probabilities of a fractional Brownian motion considering some general deterministic trend function. We derive bounds for non-crossing probabilities and discuss the case of a large trend function. As a by-product we solve a minimization problem related to the norm of the trend function.
arXiv comment17 pages