Distribution of the maximum of a fractional Brownian motion

DOI10.1070/RM1997v052n02ABEH001781zbMath0927.60054MaRDI QIDQ4232344

Yakov G. Sinai

Publication date: 13 December 1999

Published in: Russian Mathematical Surveys (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motionfirst crossing timeVolterra-type equationself-similar distribution

Mathematics Subject Classification ID

Gaussian processes (60G15) Brownian motion (60J65) Sample path properties (60G17) Self-similar stochastic processes (60G18)

Related Items

Simulation paradoxes related to a fractional Brownian motion with small Hurst index ⋮ Asymptotic behavior of small deviations for Bogoliubov's Gaussian measure in the \(L^{p}\) norm, \(2 \leq p \leq \infty\) ⋮ Modeling single-file diffusion with step fractional Brownian motion and a generalized fractional Langevin equation ⋮ Fractal time series -- A tutorial review