Distribution of maximum loss of fractional Brownian motion with drift

Date

2013-07-04

Author

Vardar Acar, Ceren

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In this paper, we find bounds on the distribution of the maximum loss of fractional Brownian motion H ≥ 1/2 with 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

Subject Keywords

Maximum drawdown, Maximum loss, Fractional Brownian motion, Large deviation, Gaussian process

URI

https://hdl.handle.net/11511/77049

Journal

Statistics and Probability Letters

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Distribution of maximum loss of fractional Brownian motion with drift Caglar, Mine; Vardar Acar, Ceren (Elsevier BV, 2013-12) 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.
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Citation Formats

C. Vardar Acar, “Distribution of maximum loss of fractional Brownian motion with drift,” Statistics and Probability Letters, pp. 2729–2734, 2013, Accessed: 00, 2021. [Online]. Available: https://hdl.handle.net/11511/77049.