Distribution of maximum loss of fractional Brownian motion with drift
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Publication:2439647
DOI10.1016/j.spl.2013.09.008zbMath1293.60045arXiv1208.2527MaRDI QIDQ2439647
Ceren Vardar-Acar, Mine Caglar
Publication date: 14 March 2014
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1208.2527
60G22: Fractional processes, including fractional Brownian motion
60G70: Extreme value theory; extremal stochastic processes
60F10: Large deviations
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