Maxima of stochastic processes driven by fractional Brownian motion

DOI10.1239/AAP/1127483745zbMATH Open1083.60044OpenAlexW2123826332MaRDI QIDQ5697200FDOQ5697200

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

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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)

Cites Work

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• Maxima of stochastic processes driven by fractional Brownian motion

Cited In (5)

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

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