Distribution of maximum loss of fractional Brownian motion with drift
Year of publication: |
2013
|
---|---|
Authors: | Caglar, Mine ; Vardar-Acar, Ceren |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 83.2013, 12, p. 2729-2734
|
Publisher: |
Elsevier |
Subject: | Maximum drawdown | Maximum loss | Fractional Brownian motion | Large deviation | Gaussian process |
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