Extremes of multifractional Brownian motion
Probability
2019-04-02 v2
Abstract
Let 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 . Mainly depended on the structures of , the results under several important cases are investigated.
Cite
@article{arxiv.1711.05725,
title = {Extremes of multifractional Brownian motion},
author = {Long Bai},
journal= {arXiv preprint arXiv:1711.05725},
year = {2019}
}