Publication: Distribution of maximum loss of fractional Brownian motion with drift
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Vardar-Acar, Ceren
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NO
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Abstract
In this paper, we find bounds on the distribution of the maximum loss of fractional Brownian motion with H >= 1/2 and derive estimates on its tail probability. Asymptotically, the tail of the distribution of maximum loss over [0, t] behaves like the tail of the marginal distribution at time t.
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Publisher
Elsevier
Subject
Mathematics, Statistics, Probability
Citation
Has Part
Source
Statistics and Probability Letters
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DOI
10.1016/j.spl.2013.09.008