Now showing items 1-2 of 2

    • Distribution of maximum loss of fractional Brownian motion with drift 

      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 ...
    • Estimation of the Hurst parameter for fractional Brownian motion using the CMARS method 

      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 ...