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This article is cited in 20 scientific papers (total in 20 papers)
Short Communications
On the maximum of a fractional Brownian motion
G. M. Molchan International Institute of Earthquake Prediction Theory and Mathematical Geophysics RAS
Abstract:
Let $b_{\gamma}(t)$, $b_{\gamma}(0)=0$ be a fractional Brownian motion, i.e., a Gaussian process with the structural function $\mathbf{E}|b_{\gamma}(t)-b_{\gamma}(s)|^2=|t-s|^\gamma$, $0 < \gamma < 2$. The logarithmic asymptotics as $T\to\infty$ is found for the probabilities $P_T=\mathsf{P}\{b_{\gamma}(t)<1,\ -\rho T0\}$ this asymptotics is independent of $\gamma$.
Keywords:
extreme values, Gaussian processes, fractional Brownian motion, automodel processes.
Received: 03.09.1998
Citation:
G. M. Molchan, “On the maximum of a fractional Brownian motion”, Teor. Veroyatnost. i Primenen., 44:1 (1999), 111–115; Theory Probab. Appl., 44:1 (2000), 97–102
Linking options:
https://www.mathnet.ru/eng/tvp601https://doi.org/10.4213/tvp601 https://www.mathnet.ru/eng/tvp/v44/i1/p111
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Abstract page: | 484 | Full-text PDF : | 154 | First page: | 37 |
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