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https://hdl.handle.net/20.500.11851/1696| Title: | Distribution of maximum loss of fractional Brownian motion with drift | Authors: | Çağlar, Mine Varda, Acar Ceren |
Keywords: | Maximum drawdown Maximum loss Fractional Brownian motion Large deviation Gaussian process |
Publisher: | Elsevier Science Bv | Source: | Caglar, M., & Vardar-Acar, C. (2013). Distribution of maximum loss of fractional Brownian motion with drift. Statistics & Probability Letters, 83(12), 2729-2734. | Abstract: | In this paper, we find bounds on the distribution of the maximum loss of fractional Brownian motion with H >= 1/2 and derive estimates on its tail probability. Asymptotically, the tail of the distribution of maximum loss over [0, t] behaves like the tail of the marginal distribution at time t. | URI: | https://doi.org/10.1016/j.spl.2013.09.008 https://hdl.handle.net/20.500.11851/1696 |
ISSN: | 0167-7152 |
| Appears in Collections: | Matematik Bölümü / Department of Mathematics Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection |
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