Distribution of maximum loss of fractional Brownian motion with drift

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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.
Statistics & Probability Letters

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