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Extremes of standard multifractional Brownian motion

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  • Bai, Long

Abstract

Let SMBH(t),t∈(0,∞) be a standard multifractional Brownian motion(smBm), where H(t)∈(0,1) is a function of t. In this paper we derive the exact asymptotics of Psupt∈[T1,T2]SMBH(t)>u,u→∞for constants T1,T2≥0 and several forms of H(t).

Suggested Citation

  • Bai, Long, 2020. "Extremes of standard multifractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 159(C).
    • Handle: RePEc:eee:stapro:v:159:y:2020:i:c:s0167715219303438
    DOI: 10.1016/j.spl.2019.108697
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    References listed on IDEAS

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