Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.11851/3748
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dc.contributor.authorAcar, Ceren Vardar-
dc.contributor.authorBulut, Hatice-
dc.date.accessioned2020-09-18T05:57:41Z
dc.date.available2020-09-18T05:57:41Z
dc.date.issued2015-09
dc.identifier.citationVardar-Acar, C., & Bulut, H. (2015). Bounds on the expected value of maximum loss of fractional Brownian motion. Statistics & Probability Letters, 104, 117-122.en_US
dc.identifier.issn0167-7152
dc.identifier.urihttps://doi.org/10.1016/j.spl.2015.05.001-
dc.identifier.urihttps://hdl.handle.net/20.500.11851/3748-
dc.description.abstractIt has been theoretically proven through present study that the expected value of maximum loss of fractional Brownian motion up to fixed time t with Hurst parameter [1/2, 1) is bounded above by tH??/2 and below by tH/2. These new bounds provide improvement on those bounds which have been previously derived in the literature. In order to search for closer bounds, numerical study is also performed through discretization method and multivariate Gaussian variables have been examined. The simulated values of the expected value of maximum loss of fractional Brownian motion have been provided through the use of Cholesky decomposition. As a consequence of the simulation study, it has been observed that as the Hurst parameter increases, the values of the expected maximum loss of fractional Brownian motion decreases.en_US
dc.language.isoenen_US
dc.publisherElsevier B.V.en_US
dc.relation.ispartofStatistics and Probability Lettersen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectCholesky decompositionen_US
dc.subjectHurst parameteren_US
dc.subjectFractional Brownian motionen_US
dc.subjectMaximum lossen_US
dc.subjectSudakov-Fernique inequalityen_US
dc.titleBounds on the Expected Value of Maximum Loss of Fractional Brownian Motionen_US
dc.typeArticleen_US
dc.departmentFaculties, Faculty of Science and Literature, Department of Mathematicsen_US
dc.departmentFakülteler, Fen Edebiyat Fakültesi, Matematik Bölümütr_TR
dc.identifier.volume104
dc.identifier.startpage117
dc.identifier.endpage122
dc.relation.tubitakinfo:eu-repo/grantAgreement/TÜBİTAK/TBAG/110T674en_US
dc.authorid0000-0001-9433-5888-
dc.identifier.wosWOS:000358268400016en_US
dc.identifier.scopus2-s2.0-84934873268en_US
dc.institutionauthorVardar-Acar, Ceren-
dc.identifier.doi10.1016/j.spl.2015.05.001-
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.identifier.scopusqualityQ2-
item.openairetypeArticle-
item.languageiso639-1en-
item.grantfulltextnone-
item.fulltextNo Fulltext-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.cerifentitytypePublications-
crisitem.author.dept07.03. Department of Mathematics-
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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