Distribution of maximum loss of fractional Brownian motion with drift


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Caglar M., Vardar-Acar C.

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

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 83 Konu: 12
  • Basım Tarihi: 2013
  • Doi Numarası: 10.1016/j.spl.2013.09.008
  • Dergi Adı: STATISTICS & PROBABILITY LETTERS
  • Sayfa Sayıları: ss.2729-2734

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.