Distribution of maximum loss of fractional Brownian motion with drift
STATISTICS & PROBABILITY LETTERS, vol.83, no.12, pp.2729-2734, 2013 (SCI-Expanded, Scopus)
- Publication Type: Article / Article
- Volume: 83 Issue: 12
- Publication Date: 2013
- Doi Number: 10.1016/j.spl.2013.09.008
- Journal Name: STATISTICS & PROBABILITY LETTERS
- Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus
- Page Numbers: pp.2729-2734
- Keywords: Maximum drawdown, Maximum loss, Fractional Brownian motion, Large deviation, Gaussian process, DRAWDOWN, SUPREMUM
- Middle East Technical University Affiliated: No
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. (C) 2013 Elsevier B.V. All rights reserved.