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Upper classes for the increments of the fractional Wiener process - MaRDI portal

Upper classes for the increments of the fractional Wiener process (Q1263874)

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scientific article; zbMATH DE number 4128164
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Upper classes for the increments of the fractional Wiener process
scientific article; zbMATH DE number 4128164

    Statements

    Upper classes for the increments of the fractional Wiener process (English)
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    1991
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    Let X(t) be a fractional Wiener process, i.e., a centered Gaussian process on [0,\(\infty)\) with stationary increments and variance E \(X^ 2(t)=t^{2\alpha}\), and a(t) a positive nondecreasing function with a(t)\(\leq t\). We investigate the a.s. asymptotic behaviour of the increments \[ I(t,a(t))=\max \{X(u+a(t))-X(u):\quad 0\leq t-a(t)\} \] (and some others that are similarly defined as \(t\to \infty\).
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    fractional Wiener process
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    Gaussian process
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    stationary increments
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    asymptotic behaviour of the increments
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