Hitting times for Gaussian processes

L. Decreusefond (1) , D. Nualart

1 LTCI - Laboratoire Traitement et Communication de l'Information

We establish a general formula for the Laplace transform of the hitting times of a Gaussian process. Some consequences are derived, and in particular cases like the fractional Brownian motion are discussed.

Domaines: Probabilités [math.PR]

L. Decreusefond, D. Nualart. Hitting times for Gaussian processes. Annals of Probability, 2008, 36 (1), pp.319--330. ⟨hal-00079171⟩