survival exponents for some gaussian processes生存指数对一些高斯过程.pdfVIP

Hindawi Publishing Corporation International Journal of Stochastic Analysis Volume 2012, Article ID 137271, 20 pages doi:10.1155/2012/137271 Research Article Survival Exponents for Some Gaussian Processes G. Molchan Institute of Earthquake Prediction Theory and Mathematical Geophysics, Russian Academy of Sciences, Profsoyuznaya 84/32, 117997 Moscow, Russia Correspondence should be addressed to G. Molchan, molchan@mitp.ru Received 22 May 2012; Accepted 7 August 2012 Academic Editor: Yaozhong Hu Copyright q 2012 G. Molchan. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. The problem is a power-law asymptotics of the probability that a self-similar process does not exceed a fixed level during long time. The exponent in such asymptotics is estimated for some Gaussian processes, including the fractional Brownian motion FBM in −T−, T , T ≥ T− 1 and the integrated FBM in 0, T , T 1. 1. The Problem Let x t, x 0 0 be a real-valued stochastic process with the following asymptotics: P x t 1, t ∈ Δ T −θx o1, T −→ ∞, 1.1 T where θx is the so-called survival exponent of x t. Below we focus on estimating θx for some self-similar Gaussian processes in extended intervals Δ 0, T and −T , T , T ≥ T 1. T − − Usually the estimation of the survival exponents is based on Slepian’s lemma. The estimation requires reference processes with explicit or almost explicit values of θ. Unfortunately, the list of suc