Bounds for expected supremum of fractional Brownian motion with drift
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Publication:4997196
DOI10.1017/jpr.2020.98zbMath1476.60074arXiv2005.04919OpenAlexW3175202717MaRDI QIDQ4997196
Krzysztof Dȩbicki, Krzysztof Bisewski, M. R. H. Mandjes
Publication date: 28 June 2021
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2005.04919
Related Items (5)
Bounds for the expected supremum of some non-stationary Gaussian processes ⋮ Editorial introduction: special issue on Gaussian queues ⋮ Lower bound for the expected supremum of fractional brownian motion using coupling ⋮ Derivatives of sup-functionals of fractional Brownian motion evaluated at \(H=\frac{1}{2}\) ⋮ Derivative of the expected supremum of fractional Brownian motion at \(H=1\)
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