Year: 2021
Type: preprint
Abstract: Let $B^{H}$ be a $d$-dimensional fractional Brownian motion with Hurst index $H\in(0,1)$, $f:[0,1]\longrightarrow\mathbb{R}^{d}$ a Borel function, and $E\subset[0,1]$, $F\subset\mathbb{R}^{d}$ are given Borel sets. The focus of this paper is on hitting probabilities of the fractional Brownian motion $B^{H}$ with the deterministic drift $f$. It aims to highlight the role of the regularity properties of the drift $f$ as well as that of the dimension of $E$ in determining the upper and lower bounds of $\mathbb{P}\{(B^H+f)(E)\cap F\neq \emptyset \}$ for $F$ a subset of $\mathbb{R}^{d}$ and also for $F$ a singleton.
Source: arXiv (Cornell University)
Authors: Hakiki, Youssef, Erraoui, Mohamed
Institutions: Cadi Ayyad University, Chouaib Doukkali University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W4200635602