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

DOI10.1016/j.spl.2015.05.001zbMath1321.60078arXiv1302.2019OpenAlexW289996705MaRDI QIDQ491710

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

fractional Brownian motionHurst parameterCholesky decompositionmaximum lossSudakov-Fernique inequality

Mathematics Subject Classification ID

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

Related Items (1)

Lower bound for the expected supremum of fractional brownian motion using coupling

Cites Work

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• The Greatest of a Finite Set of Random Variables
• MOMENTS OF ORDER STATISTICS FROM A NORMAL POPULATION

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