Konstantin Borovkov, Mikhail Zhitlukhin, “On the maximum of the discretely sampled fractional Brownian motion with small Hurst parameter”, Electron. Commun. Probab., 2018, Volume 23,065, 8 pp.

This article is cited in 1 paper

On the maximum of the discretely sampled fractional Brownian motion with small Hurst parameter

Konstantin Borovkov^a, Mikhail Zhitlukhin^b

^a The University of Melbourne, Australia
^b Steklov Mathematical Institute, Moscow, Russia

Received: 14.02.2018
Accepted: 30.08.2018

Language: English

DOI: 10.1214/18-ECP167