2 papers
math.PR2025
Persistence probabilities for fractionally integrated fractional Brownian noise
G. Molchan
The main objective of this study is fractionally integrated fractional Brownian noise, I(t/a,H) where a>0 is the 'multiplicity' of integration, and H is the Hurst parameter . The s…
math.PR2002
Small values of the maximum for the integral of fractional Brownian motion
G. M. Molchan, A. V. Khokhlov
We consider the integral of fractional Brownian motion (IFBM) and its functionals on the intervals and of the following types: the maximum , the positio…