New and refined bounds for expected maxima of fractional Brownian motion

DOI10.1016/j.spl.2018.01.025zbMath1406.60058arXiv1612.07842OpenAlexW2786476472MaRDI QIDQ1640943

Alexander Novikov, Mikhail Zhitlukhin, Konstantin A. Borovkov, Yuliya S. Mishura

Publication date: 14 June 2018

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1612.07842

zbMATH Keywords

fractional Brownian motionconvergence ratePickands' constantdiscrete time approximation

Mathematics Subject Classification ID

Gaussian processes (60G15) Inequalities; stochastic orderings (60E15) Fractional processes, including fractional Brownian motion (60G22)

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