On the infimum attained by the reflected fractional Brownian motion

DOI10.1007/S10687-014-0188-7zbMATH Open1306.60037arXiv1310.1496OpenAlexW3101146904WikidataQ59399184 ScholiaQ59399184MaRDI QIDQ488107FDOQ488107

Authors: Krzysztof Dȩbicki, K. M. Kosiński 

Publication date: 23 January 2015

Published in: Extremes (Search for Journal in Brave)

Abstract: Let $B_H(t):tge0$ be a fractional Brownian motion with Hurst parameter $Hin(frac12,1)$. For the storage process $Q_{B_H}(t)=su{p}_{-inftyleslet}left(B_H(t)-B_H(s)-c(t-s)ight)$ we show that, for any $T(u)>0$ such that $T(u)=o(u^{f}rac2H-1H)$, [mathbb P (inf_{sin[0,T(u)]} Q_{B_H}(s)>u)simmathbb P(Q_{B_H}(0)>u),quad ext{as}quad u oinfty.] This finding, known in the literature as the strong Piterbarg property, is in line with previously observed properties of storage processes with self-similar and infinitely divisible input without Gaussian component.

Full work available at URL: https://arxiv.org/abs/1310.1496

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zbMATH Keywords

fractional Brownian motionextremesstrong Piterbarg propertystorage processes

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Fractional processes, including fractional Brownian motion (60G22) Strong limit theorems (60F15)

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Cited In (30)

• Parisian ruin of self-similar Gaussian risk processes
• The time of ultimate recovery in Gaussian risk model
• Extremes of standard multifractional Brownian motion
• Piterbarg's max-discretization theorem for stationary vector Gaussian processes observed on different grids
• Extremes of reflecting Gaussian processes on discrete grid
• Extremes of Gaussian chaos processes with trend
• Sojourns of fractional Brownian motion queues: transient asymptotics
• Extremes of a class of nonhomogeneous Gaussian random fields
• Extremes of stationary Gaussian storage models
• Parisian ruin over a finite-time horizon
• Extremes of \(\gamma\)-reflected Gaussian processes with stationary increments
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• Extremes of vector-valued Gaussian processes: exact asymptotics
• Extremes of Gaussian random fields with regularly varying dependence structure
• The point process of upcrossings formed by storage process with fractional Brownian motion as input
• Extremes of threshold-dependent Gaussian processes
• Piterbarg theorems for chi-processes with trend
• Extremes of \(\alpha(\mathbf{t})\)-locally stationary Gaussian random fields
• Extremes of nonstationary Gaussian fluid queues
• An Erdös-Révész type law of the iterated logarithm for reflected fractional Brownian motion
• Extremes of vector-valued Gaussian processes with trend
• Approximation of passage times of \(\gamma\)-reflected processes with FBM input

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