Bounds on the expected value of maximum loss of fractional Brownian motion

DOI10.1016/J.SPL.2015.05.001MaRDI QIDQ491710zbMATH OpenOpenAlexFDO

Authors Ceren Vardar-Acar, Hatice Cigdem Bulut

Publication date 19 August 2015

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1302.2019

zbMATH Keywords

Cholesky decompositionfractional Brownian motionHurst parametermaximum lossSudakov-Fernique inequality

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22)

Abstract: In this study, it is theoretically proven that the expected value of maximum loss of fractional Brownian motion (fBm) up to time 1 with Hurst parameter $[1/2,1)$ is bounded above by $2/sqrtpi$ and below by $1/sqrtpi$. This result is generalized for fBm with $Hin[1/2,1)$ up to any fixed time, $t$. This also leads us to the bounds related to the distribution of maximum loss of fBm. As numerical study some lower bounds on the expected value of maximum loss of fBm up to time 1 are obtained by discretization. Simulation study is conducted with Cholesky method. Finally, comparison of the established bounds with simulation results is given.

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Cited in

(5)

• New and refined bounds for expected maxima of fractional Brownian motion
• Distribution of maximum loss of fractional Brownian motion with drift
• Bounds for expected supremum of fractional Brownian motion with drift
• Lower bound for the expected supremum of fractional brownian motion using coupling
• On approximate representation of fractional Brownian motion

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