Upper classes for the increments of the fractional Wiener process (Q1263874)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Upper classes for the increments of the fractional Wiener process
scientific article

    Statements

    Upper classes for the increments of the fractional Wiener process (English)
    0 references
    0 references
    1991
    0 references
    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 \(t\to \infty\).
    0 references
    fractional Wiener process
    0 references
    Gaussian process
    0 references
    stationary increments
    0 references
    asymptotic behaviour of the increments
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references