Maxima of stochastic processes driven by fractional Brownian motion
| dc.contributor.author | Buchmann, Boris | |
| dc.contributor.author | Klueppelberg, Claudia C | |
| dc.date.accessioned | 2015-12-13T23:04:09Z | |
| dc.date.available | 2015-12-13T23:04:09Z | |
| dc.date.issued | 2005 | |
| dc.date.updated | 2015-12-12T07:53:51Z | |
| dc.description.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 | |
| dc.identifier.issn | 0001-8678 | |
| dc.identifier.uri | http://hdl.handle.net/1885/85244 | |
| dc.publisher | Applied Probability Trust | |
| dc.source | Advances in Applied Probability | |
| dc.subject | 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 | |
| dc.title | Maxima of stochastic processes driven by fractional Brownian motion | |
| dc.type | Journal article | |
| local.bibliographicCitation.issue | 3 | |
| local.bibliographicCitation.lastpage | 764 | |
| local.bibliographicCitation.startpage | 743 | |
| local.contributor.affiliation | Buchmann, Boris, College of Physical and Mathematical Sciences, ANU | |
| local.contributor.affiliation | Klueppelberg, Claudia C, Munich University of Technology | |
| local.contributor.authoremail | u4164354@anu.edu.au | |
| local.contributor.authoruid | Buchmann, Boris, u4164354 | |
| local.description.notes | Imported from ARIES | |
| local.description.refereed | Yes | |
| local.identifier.absfor | 010406 - Stochastic Analysis and Modelling | |
| local.identifier.ariespublication | MigratedxPub13540 | |
| local.identifier.citationvolume | 37 | |
| local.identifier.doi | 10.1239/aap/1127483745 | |
| local.identifier.scopusID | 2-s2.0-27144534084 | |
| local.identifier.uidSubmittedBy | Migrated | |
| local.type.status | Published Version |