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Browsing by Subject " Fractional Brownian motion"

Browsing by Subject " Fractional Brownian motion"

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  • Çağlar, Mine; Varda-Acar, Ceren (Elsevier Science 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 ...
  • Yerlikaya-Özkurt, F.; Varda-Acar, Ceren; Yolcu-Okura, Y.; Weber, G. -W. (Elsevier Science Bv, 2014-03)
    In this study, we develop an alternative method for estimating the Hurst parameter using the conic multivariate adaptive regression splines (CMARS) method. We concentrate on the strong solutions of stochastic differential ...