Extremes of Shepp statistics for fractional Brownian motion

DOI10.1007/s11425-014-4945-5zbMath1322.60075MaRDI QIDQ498134

Yang Yang, Zhongquan Tan

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

zbMATH Keywords

fractional Brownian motion; extremes; Shepp statistics; fractional Brownian field; exact tail asymptotics; Gumbel limit law

Mathematics Subject Classification ID

60G60: Random fields

60G15: Gaussian processes

60G22: Fractional processes, including fractional Brownian motion

60G70: Extreme value theory; extremal stochastic processes

60F10: Large deviations

Related Items

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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