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Derivatives of sup-functionals of fractional Brownian motion evaluated at H=1/2 - MaRDI portal

Derivatives of sup-functionals of fractional Brownian motion evaluated at H=1/2

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Publication:6380566

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DOI10.1214/22-EJP848zbMath1507.60048arXiv2110.08788MaRDI QIDQ6380566

Tomasz Rolski, Krzysztof Bisewski, Krzysztof Dȩbicki

Publication date: 17 October 2021

Mathematics Subject Classification ID

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

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