Upper classes for the increments of the fractional Wiener process (Q1263874)
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English | Upper classes for the increments of the fractional Wiener process |
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Upper classes for the increments of the fractional Wiener process (English)
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1991
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Let X(t) be a fractional Wiener process, i.e., a centered Gaussian process on [0,\(\infty)\) with stationary increments and variance E \(X^ 2(t)=t^{2\alpha}\), and a(t) a positive nondecreasing function with a(t)\(\leq t\). We investigate the a.s. asymptotic behaviour of the increments \[ I(t,a(t))=\max \{X(u+a(t))-X(u):\quad 0\leq t-a(t)\} \] (and some others that are similarly defined as \(t\to \infty\).
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fractional Wiener process
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Gaussian process
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stationary increments
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asymptotic behaviour of the increments
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