Large Deviations of a Storage Process with Fractional Brownian Motion as Input

被引：3
|
作者：
Vladimir I. Piterbarg
机构：
[1] Moscow Lomonosov State University,
来源：
Extremes | 2001年 / 4卷 / 2期
关键词：
extremes of Gaussian fields; storage process; fractional Brownian motion;
D O I：
10.1023/A:1013973109998
中图分类号：
学科分类号：
摘要：
We study probabilities of large extremes of the storage process Y(t) = supσ≥t(X(σ) - X(t) - c(σ - t)), where X(t) is the fractional Brownian motion. We derive asymptotic behavior of the maximum tail distribution for the process on fixed or slowly increased intervals by a reduction the problem to a large extremes problem for a Gaussian field.
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页码：147 / 164
页数：17
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