On the infimum attained by the reflected fractional Brownian motion

DOI10.1007/S10687-014-0188-7MaRDI QIDQ488107zbMATH OpenOpenAlexWikidataFDO

Authors Krzysztof Dȩbicki, K. M. Kosiński

Publication date 23 January 2015

Published in Extremes (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

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

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)

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.

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Cited in

(30)

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

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