Approximation of the maximum of storage process with fractional Brownian motion as input-Reference-Cited by-同舟云学术

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Approximation of the maximum of storage process with fractional Brownian motion as input

Published:2018-09 Issue: Volume:140 Page:147-159
ISSN:0167-7152
Container-title:Statistics & Probability Letters
language:en
Short-container-title:Statistics & Probability Letters

Author:

Xu Zhengchun,Tan Zhongquan,Tang Linjun^ORCID

Funder

National Science Foundation of China

Natural Science Foundation of Zhejiang Province of China

China Postdoctoral Science Foundation

Postdoctoral Research Program of Zhejiang Province

SRT of Jiaxing University

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference18 articles.

1. On the infimum attained by the reflected fractional Brownian motion;Dȩbicki;Extremes,2014

2. An Erdös-Révész type law of the iterated logarithm for reflected fractional Brownian motion;Dȩbicki;Extremes,2017

3. Extremes of stationary Gaussian storage models;Dȩbicki;Extremes,2016

4. On the supremum of γ-reflected processes with fractional Brownian motion as input;Hashorva;Stochastic Process. Appl.,2013

5. Approximation of maximum of Gaussian random fields;Hashorva;J. Math. Anal. Appl.,2018

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