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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1999 Volume 44, Issue 1, Pages 111–115 (Mi tvp601)

This article is cited 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

DOI: 10.4213/tvp601


 English version:
Theory of Probability and its Applications, 2000, 44:1, 97–102

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