13 citations · 34 across the 4 of their papers we have counts for
4 papers
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…
Survival probabilities of autoregressive processes
Christoph Baumgarten
Given an autoregressive process X of order p (i.e. X_n = a_1 X_{n-1} + ...+ a_p X_{n_p} + Y_n where the random variables Y_1, Y_2, ... are i.i.d.), we study the asymptotic behaviou…
Survival probabilities of some iterated processes
Christoph Baumgarten
We study the asymptotic behaviour of the probability that a stochastic process does not exceed a constant barrier up to time (the so called survival probabil…
Survival probabilities of weighted random walks
Frank Aurzada, Christoph Baumgarten
We study the asymptotic behaviour of the probability that a weighted sum of centered i.i.d. random variables X_k does not exceed a constant barrier. For regular random walks, the r…