Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.11851/1696
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dc.contributor.authorÇağlar, Mine-
dc.contributor.authorVarda, Acar Ceren-
dc.date.accessioned2019-07-04T14:19:43Z
dc.date.available2019-07-04T14:19:43Z
dc.date.issued2013-12
dc.identifier.citationCaglar, M., & Vardar-Acar, C. (2013). Distribution of maximum loss of fractional Brownian motion with drift. Statistics & Probability Letters, 83(12), 2729-2734.en_US
dc.identifier.issn0167-7152
dc.identifier.urihttps://doi.org/10.1016/j.spl.2013.09.008-
dc.identifier.urihttps://hdl.handle.net/20.500.11851/1696-
dc.description.abstractIn 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.en_US
dc.language.isoenen_US
dc.publisherElsevier Science Bven_US
dc.relation.ispartofStatistics & Probability Lettersen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectMaximum drawdownen_US
dc.subject Maximum lossen_US
dc.subject Fractional Brownian motionen_US
dc.subject Large deviationen_US
dc.subject Gaussian processen_US
dc.titleDistribution of maximum loss of fractional Brownian motion with driften_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.volume83
dc.identifier.issue12
dc.identifier.startpage2729
dc.identifier.endpage2734
dc.relation.tubitakinfo:eu-repo/grantAgreement/TÜBİTAK/TBAG/110T674en_US
dc.authorid0000-0001-9433-5888-
dc.identifier.wosWOS:000327920700019en_US
dc.identifier.scopus2-s2.0-84884961714en_US
dc.institutionauthorVarda-Acar, Ceren-
dc.identifier.doi10.1016/j.spl.2013.09.008-
dc.authorscopusid55616872200-
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.identifier.scopusqualityQ2-
item.fulltextNo Fulltext-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.languageiso639-1en-
item.cerifentitytypePublications-
item.openairetypeArticle-
item.grantfulltextnone-
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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