Maxima of stochastic processes driven by fractional Brownian motion (Q5697200)
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scientific article; zbMATH DE number 2214591
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| English | Maxima of stochastic processes driven by fractional Brownian motion |
scientific article; zbMATH DE number 2214591 |
Statements
Maxima of stochastic processes driven by fractional Brownian motion (English)
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17 October 2005
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extreme-value theory
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fractional Ornstein-Uhlenbeck process
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fractional stochastic differential equation
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long-range dependence
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partial maximum
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maximum domain of attraction
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state space transform
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0.7654914259910583
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0.7632141709327698
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0.7546238899230957
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0.7510499358177185
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0.7496904730796814
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