29 citations · 228 across the 47 of their papers we have counts for
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math.PR2013★ 1 cited
The first passage time problem over a moving boundary for asymptotically stable Lévy processes
Frank Aurzada, Tanja Kramm
We study the asymptotic tail behaviour of the first-passage time over a moving boundary for asymptotically -stable Lévy processes with . Our main result states that if the…
math.PR2013★ 11 cited
Persistence of fractional Brownian motion with moving boundaries and applications
Frank Aurzada, Christoph Baumgarten
We consider various problems related to the persistence probability of fractional Brownian motion (FBM), which is the probability that the FBM stays below a certain level until…