Some limit results on supremum of Shepp statistics for fractional Brownian motion

DOI10.1007/s11766-016-3417-9zbMath1374.60027MaRDI QIDQ2362938

Yang Chen, Zhongquan Tan

Publication date: 14 July 2017

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-016-3417-9

zbMATH Keywords

fractional Brownian motion; extremes; Shepp statistics; almost sure limit theorem; exact asymptotic

Mathematics Subject Classification ID

60F05: Central limit and other weak theorems

60G22: Fractional processes, including fractional Brownian motion

60G70: Extreme value theory; extremal stochastic processes