On some maximal inequalities for fractional Brownian motions
From MaRDI portal
Publication:1962161
DOI10.1016/S0167-7152(98)00290-9zbMath0947.60033OpenAlexW2092576876WikidataQ109967583 ScholiaQ109967583MaRDI QIDQ1962161
Alexander Novikov, Esko Valkeila
Publication date: 6 November 2000
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-7152(98)00290-9
Gaussian processes (60G15) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic analysis (60H99)
Related Items (29)
Nonparametric estimation of trend for SDEs with delay driven by a fractional brownian motion with small noise ⋮ Maximal Inequalities for Fractional Lévy and Related Processes ⋮ Acknowledgement of priority. ⋮ Stationarity and control of a tandem fluid network with fractional Brownian motion input ⋮ Volatility is rough ⋮ Asymptotics of minimum distance estimator of the parameter of stochastic process driven by a fractional Brownian motion ⋮ Large deviations and Berry-Esseen inequalities for estimators in nonhomogeneous diffusion driven by fractional Brownian motion ⋮ A maximal inequality for fractional Brownian motions ⋮ Maximal inequalities for additive processes ⋮ Fractional processes and their statistical inference: an overview ⋮ Small ball probabilities and large deviations for grey Brownian motion ⋮ Bounds on exponential moments of hitting times for reflected processes on the positive orthant ⋮ On some maximal and integral inequalities for sub-fractional Brownian motion ⋮ Bounds for expected maxima of Gaussian processes and their discrete approximations ⋮ Minimum distance estimation for fractional Ornstein-Uhlenbeck type process ⋮ Optimal estimation of a signal perturbed by a sub-fractional Brownian motion ⋮ Parameter estimation for stochastic differential equations driven by mixed fractional Brownian motion ⋮ On the Return Time for a Reflected Fractional Brownian Motion Process on the Positive Orthant ⋮ The Lamperti Transforms of Self-Similar Gaussian Processes and Their Exponentials ⋮ Maximal Inequalities for Fractional Brownian Motion: An Overview ⋮ Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion ⋮ Occupation times and beyond. ⋮ On arbitrage and Markovian short rates in fractional bond markets ⋮ Maximal inequalities for the iterated fractional integrals ⋮ Fractals with point impact in functional linear regression ⋮ More on maximal inequalities for sub-fractional Brownian motion ⋮ Minimum distance parameter estimation for a stochastic equation with additive fractional Brownian sheet ⋮ Inequalities for the \(\mathbb L^p\) norms of integrals with respect to a fractional Brownian motion ⋮ Representations of fractional Brownian motion using vibrating strings
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On the Hellinger type distances for filtered experiments
- Distribution function inequalities for martingales
- An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
- On Discontinuous Martingales
- On Moment Inequalities for Stochastic Integrals
This page was built for publication: On some maximal inequalities for fractional Brownian motions
