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Maxima of stochastic processes driven by fractional Brownian motion

Buchmann, Boris; Klueppelberg, Claudia C

Description

We study stationary processes given as solutions to stochastic differential equations driven by fractional Brownian motion. This rich class includes the fractional Ornstein-Uhlenbeck process and those processes that can be obtained from it by state space

CollectionsANU Research Publications
Date published: 2005
Type: Journal article
URI: http://hdl.handle.net/1885/85244
Source: Advances in Applied Probability
DOI: 10.1239/aap/1127483745

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