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Maxima of stochastic processes driven by fractional Brownian motion

Date

Authors

Buchmann, Boris

Klueppelberg, Claudia C

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

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

URI

http://hdl.handle.net/1885/85244

Collections

ANU Research Publications

Source

Advances in Applied Probability

Type

Journal article

DOI

10.1239/aap/1127483745