Distribution of maximum loss of fractional Brownian motion with drift

DOI10.1016/j.spl.2013.09.008zbMath1293.60045arXiv1208.2527OpenAlexW2145125846MaRDI QIDQ2439647

Ceren Vardar-Acar, Mine Caglar

Publication date: 14 March 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1208.2527

zbMATH Keywords

fractional Brownian motionGaussian processlarge deviationmaximum lossmaximum drawdown

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Extreme value theory; extremal stochastic processes (60G70) Large deviations (60F10)

Related Items (3)

Rare-event simulation for the hitting time of Gaussian processes ⋮ Bounds on the expected value of maximum loss of fractional Brownian motion ⋮ Maximal Inequalities for Fractional Brownian Motion: An Overview

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