Extremes of Shepp statistics for fractional Brownian motion
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Publication:498134
DOI10.1007/s11425-014-4945-5zbMath1322.60075MaRDI QIDQ498134
Publication date: 25 September 2015
Published in: Science China. Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11425-014-4945-5
fractional Brownian motion; extremes; Shepp statistics; fractional Brownian field; exact tail asymptotics; Gumbel limit law
60G60: Random fields
60G15: Gaussian processes
60G22: Fractional processes, including fractional Brownian motion
60G70: Extreme value theory; extremal stochastic processes
60F10: Large deviations
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Limit laws on extremes of nonhomogeneous Gaussian random fields, Parisian ruin over a finite-time horizon, Extremes of a type of locally stationary Gaussian random fields with applications to Shepp statistics, Some limit results on supremum of Shepp statistics for fractional Brownian motion
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