Maxima of stochastic processes driven by fractional Brownian motion

DOI10.1239/aap/1127483745zbMath1083.60044OpenAlexW2123826332MaRDI QIDQ5697200

Boris Buchmann, Claudia Klüppelberg

Publication date: 17 October 2005

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1127483745

zbMATH Keywords

long-range dependenceextreme-value theoryfractional stochastic differential equationmaximum domain of attractionfractional Ornstein-Uhlenbeck processstate space transformpartial maximum

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Self-similar stochastic processes (60G18) Stochastic integral equations (60H20)

Related Items (4)

Fractional integral equations and state space transforms ⋮ A general drift estimation procedure for stochastic differential equations with additive fractional noise ⋮ Maxima of stochastic processes driven by fractional Brownian motion ⋮ Integrated functionals of normal and fractional processes

Cites Work

• Extremes and related properties of random sequences and processes
• Maximum and minimum of one-dimensional diffusions
• Extremal behavior of diffusion models in finance
• Fractional {O}rnstein-{U}hlenbeck processes
• Asymptotic Properties of the Maximum in a Stationary Gaussian Process
• Maxima and High Level Excursions of Stationary Gaussian Processes
• Maxima of stochastic processes driven by fractional Brownian motion
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Maxima of stochastic processes driven by fractional Brownian motion