On the maximum of the discretely sampled fractional Brownian motion with small Hurst parameter

DOI10.1214/18-ECP167zbMath1401.60061arXiv1802.03496MaRDI QIDQ1990032

Konstantin A. Borovkov, Mikhail Zhitlukhin

Publication date: 24 October 2018

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1802.03496

zbMATH Keywords

fractional Brownian motion; maxima; normal approximation; discrete sampling

Mathematics Subject Classification ID

60G15: Gaussian processes

60E15: Inequalities; stochastic orderings

60F05: Central limit and other weak theorems

60G22: Fractional processes, including fractional Brownian motion