Open Access
January 2008 Hitting times for Gaussian processes
Laurent Decreusefond, David Nualart
Ann. Probab. 36(1): 319-330 (January 2008). DOI: 10.1214/009117907000000132


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.


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Laurent Decreusefond. David Nualart. "Hitting times for Gaussian processes." Ann. Probab. 36 (1) 319 - 330, January 2008.


Published: January 2008
First available in Project Euclid: 28 November 2007

zbMATH: 1135.60019
MathSciNet: MR2370606
Digital Object Identifier: 10.1214/009117907000000132

Primary: 60H05
Secondary: 60G15 , 60H07

Keywords: fractional Brownian motion , hitting times

Rights: Copyright © 2008 Institute of Mathematical Statistics

Vol.36 • No. 1 • January 2008
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