Hitting times for Gaussian processes
arXiv:math/0606086 · doi:10.1214/009117907000000132
Abstract
We establish a general formula for the Laplace transform of the hitting times of a Gaussian process. Some consequences are derived, and particular cases like the fractional Brownian motion are discussed.
Published in at http://dx.doi.org/10.1214/009117907000000132 the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)