Let
Tc,β denote the smallest
t≥1 that a continuous, self-similar Gaussian process with self-similarity index
\alpha>0 moves at least
±ctβ units. We prove that: (i) If
\beta>\alpha, then
Tc,β=∞ with positive probability; (ii) If
\beta<\alpha and
X is strongly locally nondeterministic in the sense of Pitt (1978), then
Tc,β has moments of all order; and (iii) If
β=α and
X is strongly locally nondeterministic in the sense of Pitt (1978), then there exists a continuous, strictly decreasing function
λ:(0,∞)→(0,∞) such that
E(Tc,βμ) is finite when
0<\mu<\lambda(c) and infinite when
\mu>\lambda(c). Together these results extend a celebrated theorem of Breiman (1967) and Shepp (1967) for passage times of a Brownian motion on the critical square-root boundary. We briefly discuss two examples: One about fractional Brownian motion, and another about a family of linear stochastic partial differential equations.