Results on the Supremum of Fractional Brownian Motion

zbMath1229.60046arXiv0910.5193MaRDI QIDQ3099582

Ceren Vardar

Publication date: 1 December 2011

Full work available at URL: https://arxiv.org/abs/0910.5193

zbMATH Keywords

fractional Brownian motionJensen's inequalitygamma distributionhitting timeHurst parameterMarkov's inequalityself similarity property

Mathematics Subject Classification ID

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

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