Approximation of the maximum of storage process with fractional Brownian motion as input

DOI10.1016/J.SPL.2018.05.015zbMATH Open1390.60097OpenAlexW2803183377MaRDI QIDQ1644201FDOQ1644201

Authors: Zhengchun Xu, Zhongquan Tan, Linjun Tang 

Publication date: 21 June 2018

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

Full work available at URL: https://doi.org/10.1016/j.spl.2018.05.015

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zbMATH Keywords

extreme valuesfractional Brownian motionstorage processdiscrete time process

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05)

Cites Work

• Title not available (Why is that?)
• Extremes and related properties of random sequences and processes
• Time series analysis: Methods and applications
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• On Piterbarg's max-discretisation theorem for homogeneous Gaussian random fields
• Limit theorem for maximum of the storage process with fractional Brownian motion as input
• Discrete and continuous time extremes of Gaussian processes
• Dependence between extreme values of discrete and continuous time locally stationary Gaussian processes
• Piterbarg's max-discretization theorem for stationary vector Gaussian processes observed on different grids
• Large deviations of a storage process with fractional Brownian motion as input
• On the supremum of \(\gamma\)-reflected processes with fractional Brownian motion as input
• On the infimum attained by the reflected fractional Brownian motion
• Extremes of stationary Gaussian storage models
• On the \(\gamma\)-reflected processes with fBm input
• Approximation of maximum of Gaussian random fields
• An Erdös-Révész type law of the iterated logarithm for reflected fractional Brownian motion
• Extremes on different grids and continuous time of stationary processes
• On maxima of chi-processes over threshold dependent grids

Cited In (3)

• On the asymptotic distribution of the maxima from Gaussian functions subject to missing observations
• Limit theorem for maximum of the storage process with fractional Brownian motion as input
• Convergence to the maximum process of a fractional Brownian motion with shot noise

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