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• W2960646972 abstract "We study a modification of the fractional analogue of the Brownian meander, which is Brownian motion conditioned to be positive on the time interval ${[0,1]}$. More precisely, we determine the weak limit of a fractional Brownian motion which is penalized -- instead of being killed -- when leaving the positive half-axis. In the Brownian case, we give a representation of the limiting process in terms of an explicit SDE and compare it to the SDE fulfilled by the Brownian meander." @default.
• W2960646972 created "2019-07-23" @default.
• W2960646972 creator A5032794732 @default.
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• W2960646972 date "2019-07-17" @default.
• W2960646972 modified "2023-10-01" @default.
• W2960646972 title "Penalizing fractional Brownian motion for being negative" @default.
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• W2960646972 hasPublicationYear "2019" @default.
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