An Erdös-Révész type law of the iterated logarithm for reflected fractional Brownian motion
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Publication:1693605
DOI10.1007/s10687-017-0296-2zbMath1387.60056arXiv1612.09229OpenAlexW3101830134WikidataQ59608466 ScholiaQ59608466MaRDI QIDQ1693605
Kamil M. Kosiński, Krzysztof Dȩbicki
Publication date: 31 January 2018
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1612.09229
Fractional processes, including fractional Brownian motion (60G22) Extreme value theory; extremal stochastic processes (60G70) Strong limit theorems (60F15)
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Approximation of the maximum of storage process with fractional Brownian motion as input, Drawdown and drawup for fractional Brownian motion with trend, Sample path properties of reflected Gaussian processes
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