Extremes of standard multifractional Brownian motion

Long Bai

Statistics & Probability Letters, 2020, vol. 159, issue C

Abstract: Let SMBH(t),t∈(0,∞) be a standard multifractional Brownian motion(smBm), where H(t)∈(0,1) is a function of t. In this paper we derive the exact asymptotics of Psupt∈[T1,T2]SMBH(t)>u,u→∞for constants T1,T2≥0 and several forms of H(t).

Keywords: Multifractional Brownian motion; Supremum; Exact asymptotics; Pickands constants (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spl.2019.108697

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