Distribution of maximum loss of fractional Brownian motion with drift

Caglar M., Vardar-Acar C.

STATISTICS & PROBABILITY LETTERS, cilt.83, sa.12, ss.2729-2734, 2013 (SCI-Expanded) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 83 Sayı: 12
  • Basım Tarihi: 2013
  • Doi Numarası: 10.1016/j.spl.2013.09.008
  • Dergi Adı: STATISTICS & PROBABILITY LETTERS
  • Derginin Tarandığı İndeksler: Science Citation Index Expanded (SCI-EXPANDED), Scopus
  • Sayfa Sayıları: ss.2729-2734
  • Anahtar Kelimeler: Maximum drawdown, Maximum loss, Fractional Brownian motion, Large deviation, Gaussian process, DRAWDOWN, SUPREMUM
  • Orta Doğu Teknik Üniversitesi Adresli: Hayır

Özet

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. (C) 2013 Elsevier B.V. All rights reserved.