Drawdown and drawup for fractional Brownian motion with trend

DOI10.1007/s10959-018-0836-yzbMath1478.60121arXiv1801.10598OpenAlexW2963836928MaRDI QIDQ2312786

Publication date: 18 July 2019

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.10598

zbMATH Keywords

fractional Brownian motion Pickands constant Piterbarg constant drawdown drawup geometric fractional Brownian motion

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Extreme value theory; extremal stochastic processes (60G70)

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