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Teoriya Veroyatnostei i ee Primeneniya, 1999, Volume 44, Issue 1, Pages 111–115
DOI: https://doi.org/10.4213/tvp601
(Mi tvp601)
 

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
English version:
Theory of Probability and its Applications, 2000, Volume 44, Issue 1, Pages 97–102
DOI: https://doi.org/10.1137/S0040585X97977379
Bibliographic databases:
Document Type: Article
Language: Russian
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
Citation in format AMSBIB
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\by G.~M.~Molchan
\paper On the maximum of a fractional Brownian motion
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\pages 111--115
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\transl
\jour Theory Probab. Appl.
\yr 2000
\vol 44
\issue 1
\pages 97--102
\crossref{https://doi.org/10.1137/S0040585X97977379}
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  • https://www.mathnet.ru/eng/tvp601
  • https://doi.org/10.4213/tvp601
  • https://www.mathnet.ru/eng/tvp/v44/i1/p111
  • This publication is cited in the following 20 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Теория вероятностей и ее применения Theory of Probability and its Applications
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