Maxima of stochastic processes driven by fractional Brownian motion (Q5697200): Difference between revisions

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Property / full work available at URL: https://doi.org/10.1239/aap/1127483745 / rank
 
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Latest revision as of 17:29, 10 June 2024

scientific article; zbMATH DE number 2214591
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English
Maxima of stochastic processes driven by fractional Brownian motion
scientific article; zbMATH DE number 2214591

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    Maxima of stochastic processes driven by fractional Brownian motion (English)
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    17 October 2005
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    extreme-value theory
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    fractional Ornstein-Uhlenbeck process
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    fractional stochastic differential equation
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    long-range dependence
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    partial maximum
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    maximum domain of attraction
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    state space transform
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