Distribution of maximum loss of fractional Brownian motion with drift

Download
2013-12
Caglar, Mine
Vardar Acar, Ceren
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.
Citation Formats
M. Caglar and C. Vardar Acar, “Distribution of maximum loss of fractional Brownian motion with drift,” pp. 2729–2734, 2013, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/28475.