Article ID Journal Published Year Pages File Type
1152022 Statistics & Probability Letters 2013 6 Pages PDF
Abstract

In this paper, we find bounds on the distribution of the maximum loss of fractional Brownian motion with H≥1/2H≥1/2 and derive estimates on its tail probability. Asymptotically, the tail of the distribution of maximum loss over [0,t][0,t] behaves like the tail of the marginal distribution at time tt.

Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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