On convergence to stationarity of fractional Brownian storage (Q835064)

Let \(A=(A(t))_{t\geq 0}\) be a fractional Brownian motion and set \[ M(t):=\sup_{0\leq s\leq t}[A(s)-s]\quad\text{and}\quad M:=\sup_{s>0}[A(s)-s]\;. \] The aim of the present paper is to determine the rate of convergence of \(M(t)\) to \(M\) as \(t\to\infty\). Here the distance between \(M(t)\) and \(M\) is measured by two different metrics, namely by the Kolmogorov--Smirnov distance and by the so-called integral distance. In both cases the authors obtain surprisingly sharp convergence rates of exponential order. The proofs of these results rely on large deviation theorems for Gaussian processes.