Derivative of the expected supremum of fractional Brownian motion at \(H=1\)

DOI10.1007/s11134-022-09859-3OpenAlexW4293553254MaRDI QIDQ2095027

Krzysztof Bisewski, Tomasz Rolski, Krzysztof Dȩbicki

Publication date: 9 November 2022

Published in: Queueing Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11134-022-09859-3

zbMATH Keywords

fractional Brownian motionexpected supremum\(H\)-derivative

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Extreme value theory; extremal stochastic processes (60G70) Sample path properties (60G17)

Uses Software

• GAUSSIAN

Cites Work

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