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Distribution of Maximum Loss of Fractional Brownian Motion with Drift
Date
2015-07-06
Author
Vardar Acar, Ceren
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https://hdl.handle.net/11511/85799
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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.
Distribution of maximum loss of fractional Brownian motion with drift
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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
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C. Vardar Acar, “Distribution of Maximum Loss of Fractional Brownian Motion with Drift,” 2015, Accessed: 00, 2021. [Online]. Available: https://hdl.handle.net/11511/85799.