Estimates for exponential functionals of continuous Gaussian processes with emphasis on fractional Brownian motion

zbMath1540.60069MaRDI QIDQ6564549

Jose Alfredo Lopez Mimbela, Gerardo Pérez Suárez

Publication date: 1 July 2024

Published in: ALEA. Latin American Journal of Probability and Mathematical Statistics (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motionGaussian processesexponential functionalstail estimatesmoments estimatescontinuity in law of exponential functionals

Mathematics Subject Classification ID

Gaussian processes (60G15) Inequalities; stochastic orderings (60E15) Fractional processes, including fractional Brownian motion (60G22)

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