Maxima of stochastic processes driven by fractional Brownian motion

DOI10.1239/AAP/1127483745MaRDI QIDQ5697200zbMATH OpenOpenAlexFDO

Authors Boris Buchmann, Claudia Klüppelberg

Publication date 17 October 2005

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/aap/1127483745

zbMATH Keywords

long-range dependencefractional stochastic differential equationmaximum domain of attractionfractional Ornstein-Uhlenbeck processextreme-value theorystate space transformpartial maximum

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Self-similar stochastic processes (60G18) Stochastic integral equations (60H20)

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Cites work

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• Asymptotic Properties of the Maximum in a Stationary Gaussian Process
• Extremal behavior of diffusion models in finance
• Extremes and related properties of random sequences and processes
• Fractional {O}rnstein-{U}hlenbeck processes
• Maxima and High Level Excursions of Stationary Gaussian Processes
• Maxima of stochastic processes driven by fractional Brownian motion
• Maximum and minimum of one-dimensional diffusions

Cited in

(5)

• A general drift estimation procedure for stochastic differential equations with additive fractional noise
• A stochastic maximum principle for processes driven by fractional Brownian motion.
• Integrated functionals of normal and fractional processes
• Fractional integral equations and state space transforms
• Maxima of stochastic processes driven by fractional Brownian motion

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