| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1152022 | Statistics & Probability Letters | 2013 | 6 Pages |
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
Authors
Mine Caglar, Ceren Vardar-Acar,