English

Extremes of multifractional Brownian motion

Probability 2019-04-02 v2

Abstract

Let BH(t),t[0,T],T(0,)B_{H}(t), t\geq [0,T], T\in(0,\infty) be the standard Multifractional Brownian Motion(mBm), in this contribution we are concerned with the exact asymptotics of \begin{eqnarray*} \mathbb{P}\left\{\sup_{t\in[0,T]}B_{H}(t)>u\right\} \end{eqnarray*} as uu\rightarrow\infty. Mainly depended on the structures of H(t)H(t), the results under several important cases are investigated.

Keywords

Cite

@article{arxiv.1711.05725,
  title  = {Extremes of multifractional Brownian motion},
  author = {Long Bai},
  journal= {arXiv preprint arXiv:1711.05725},
  year   = {2019}
}