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Distribution of maximum loss of fractional Brownian motion with drift

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Date
2013-12
Author
Çağlar, Mine
Varda-Acar, Ceren
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Abstract
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.
URI
https://doi.org/10.1016/j.spl.2013.09.008
http://hdl.handle.net/20.500.11851/1696
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  • Matematik Bölümü / Department of Mathematics

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