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
Collections
Source
Advances in Applied Probability
Type
Journal article