Please use this identifier to cite or link to this item:
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 |
Show full item record
CORE Recommender
SCOPUSTM
Citations
6
checked on Nov 2, 2024
WEB OF SCIENCETM
Citations
4
checked on Nov 2, 2024
Page view(s)
28
checked on Nov 4, 2024
Google ScholarTM
Check
Altmetric
Items in GCRIS Repository are protected by copyright, with all rights reserved, unless otherwise indicated.