Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7548337 | Statistics & Probability Letters | 2018 | 6 Pages |
Abstract
For the fractional Brownian motion BH with the Hurst parameter value H in (0,1â2), we derive new upper and lower bounds for the difference between the expectations of the maximum of BH over [0,1] and the maximum of BH over the discrete set of values inâ1, i=1,â¦,n. We use these results to improve our earlier upper bounds for the expectation of the maximum of BH over [0,1] and derive new upper bounds for Pickands' constant.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Konstantin Borovkov, Yuliya Mishura, Alexander Novikov, Mikhail Zhitlukhin,