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

DOI10.1016/J.SPL.2018.05.015MaRDI QIDQ1644201zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

extreme valuesfractional Brownian motionstorage processdiscrete time process

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 846847 (Why is no real title available?)
• An Erdös-Révész type law of the iterated logarithm for reflected fractional Brownian motion
• Approximation of maximum of Gaussian random fields
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• Discrete and continuous time extremes of Gaussian processes
• Extremes and related properties of random sequences and processes
• Extremes of stationary Gaussian storage models
• Extremes on different grids and continuous time of stationary processes
• Large deviations of a storage process with fractional Brownian motion as input
• Limit theorem for maximum of the storage process with fractional Brownian motion as input
• On Piterbarg's max-discretisation theorem for homogeneous Gaussian random fields
• On Piterbarg's max-discretisation theorem for multivariate stationary Gaussian processes
• On maxima of chi-processes over threshold dependent grids
• On the -reflected processes with fBm input
• On the infimum attained by the reflected fractional Brownian motion
• On the supremum of \(\gamma\)-reflected processes with fractional Brownian motion as input
• Piterbarg's max-discretization theorem for stationary vector Gaussian processes observed on different grids
• Time series analysis: Methods and applications

Cited in

(4)

• 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
• The point process of upcrossings formed by 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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