Maximum of a fractional Brownian motion: Probabilities of small values (Q1809242): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
Set OpenAlex properties.
 
(3 intermediate revisions by 2 users not shown)
Property / reviewed by
 
Property / reviewed by: Ion C. Vladimirescu / rank
Normal rank
 
Property / reviewed by
 
Property / reviewed by: Ion C. Vladimirescu / rank
 
Normal rank
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1007/s002200050669 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W1983336697 / rank
 
Normal rank

Latest revision as of 19:54, 19 March 2024

scientific article
Language Label Description Also known as
English
Maximum of a fractional Brownian motion: Probabilities of small values
scientific article

    Statements

    Maximum of a fractional Brownian motion: Probabilities of small values (English)
    0 references
    0 references
    16 December 1999
    0 references
    Let \(b_\gamma(t)\), \(b_\gamma(0)= 0\), be a fractional Brownian motion, i.e., a Gaussian process with the structure function \(E(|b_\gamma(t)- b_\gamma(s)|)^2=|t- s|^\gamma\), \(0<\gamma<2\). The author establishes the following results: 1. The maximum \(M_t\) of a fractional Brownian motion on \([0,t]\) obeys the asymptotics \(\ln P\{M_t< 1\}= D\ln t^{-1}(1+ O((\ln t)^{-1/2}))\), \(t\to\infty\), where \(D= 1-\gamma/2\). 2. If \(G\) is a bounded convex region on \(\mathbb{R}^d\) which contains a vicinity of the point \(t= 0\), and \(M(G)= \sup\{b_\gamma(t), t\in G\}\), then \(\ln P\{M(TG)< 1\}= -d\ln T(1+ O(\ln T)^{-1/2})\), \(T\to\infty\), where \(TG\) is a region similar to \(G\) and has similarity coefficient \(T\).
    0 references
    fractional Brownian motion
    0 references
    small values
    0 references

    Identifiers