Publication: Distribution of maximum loss of fractional Brownian motion with drift
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Vardar-Acar, Ceren
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Language
English
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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.
Source:
Statistics and Probability Letters
Publisher:
Elsevier
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Subject
Mathematics, Statistics, Probability