Maxima of stochastic processes driven by fractional Brownian motion

Date

2005

Authors

Buchmann, Boris
Klueppelberg, Claudia C

Journal Title

Journal ISSN

Volume Title

Publisher

Applied Probability Trust

Abstract

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

Description

Keywords

Keywords: Asymptotic stability; Brownian movement; Convergence of numerical methods; Differential equations; Mathematical transformations; Probability distributions; State space methods; Extreme-value theory; Fractional Brownian motion; Fractional Ornstein-Uhlenbec Extreme-value theory; Fractional Brownian motion; Fractional Ornstein-Uhlenbeck process; Fractional stochastic differential equation; Long-range dependence; Maximum domain of attraction; Partial maximum; State space transform

Citation

Source

Advances in Applied Probability

Type

Journal article

Book Title

Entity type

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DOI

10.1239/aap/1127483745

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