Bounds for expected supremum of fractional Brownian motion with drift
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DOI: 10.1017/jpr.2020.98
Abstract: Abstract We provide upper and lower bounds for the mean $\mathscr{M}(H)$ of $\sup_{t\geq 0} \{B_H(t) - t\}$ , with $B_H(\!\cdot\!)$ a zero-mean, variance-normalized version of fractional Brownian motion with Hurst parameter $H\in(0,1)$ . We find… read more here.
Keywords: upper lower; fractional brownian; bound; brownian motion ... See more keywords
Optimal upper bounds on expected kth record values from IGFR distributions
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DOI: 10.1080/02331888.2019.1580282
Abstract: ABSTRACT The paper concerns the optimal upper bounds on the expectations of the kth record values () centred about the sample mean. We consider the case, when the records are based on the infinite sequence… read more here.
Keywords: optimal upper; kth record; upper bounds; record values ... See more keywords