Bounds for expected supremum of fractional Brownian motion with drift (Q4997196)

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scientific article; zbMATH DE number 7364093
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English
Bounds for expected supremum of fractional Brownian motion with drift
scientific article; zbMATH DE number 7364093

    Statements

    title
    Bounds for expected supremum of fractional Brownian motion with drift (English)
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    author
    Krzysztof Bisewski
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    Krzysztof Dȩbicki
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    M. R. H. Mandjes
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    publication date
    28 June 2021
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    zbMATH Keywords
    fractional Brownian motion
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    extreme value
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    bounds
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    Identifiers

    DOI
    10.1017/jpr.2020.98
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    zbMATH DE Number
    7364093
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    OpenAlex ID
    W3175202717
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    arXiv ID
    2005.04919
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