Small deviations for mixed fractional Brownian motion with trend and with Hurst index H>1/2

DOI10.1080/17442508.2019.1652609MaRDI QIDQ5086513zbMATH OpenOpenAlexFDO

Authors Vitalii Makogin, Yuliya S. Mishura

Publication date 5 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2019.1652609

zbMATH Keywords

trendfractional calculusGirsanov theoremsmall ball probabilityFredholm equationtwo-sided boundsmixed Brownian-fractional Brownian process

Mathematics Subject Classification ID

Large deviations (60F10) Fractional processes, including fractional Brownian motion (60G22)

Recommendations

• Optimization of small deviation for mixed fractional Brownian motion with trend
• Mixed fractional Brownian motion: a spectral take
• The fractional mixed fractional brownian motion and fractional brownian sheet
• Two approaches to consistent estimation of parameters of mixed fractional Brownian motion with trend
• Boundary non-crossing probabilities for fractional Brownian motion with trend

Cites work

• scientific article; zbMATH DE number 438987 (Why is no real title available?)
• scientific article; zbMATH DE number 3760758 (Why is no real title available?)
• Boundary non-crossing probabilities for fractional Brownian motion with trend
• Calculus of variations with fractional derivatives and fractional integrals
• Gaussian processes: Inequalities, small ball probabilities and applications
• Mixed fractional Brownian motion: a spectral take
• On small deviation asymptotics in \(L_2\) of some mixed Gaussian processes
• Optimization of small deviation for mixed fractional Brownian motion with trend
• Stochastic calculus for fractional Brownian motion and related processes.
• Transformation formulas for fractional Brownian motion

Cited in

(3)

• Mixed fractional Brownian motion: a spectral take
• Optimization of small deviation for mixed fractional Brownian motion with trend
• Least-squares estimation for the Vasicek model driven by the complex fractional Brownian motion

This page was built for publication: Small deviations for mixed fractional Brownian motion with trend and with Hurst index \(H>1/2\)

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5086513)