Distribution of maximum loss of fractional Brownian motion with drift

Mine Caglar and Ceren Vardar-Acar

Statistics & Probability Letters, 2013, vol. 83, issue 12, 2729-2734

Abstract: In this paper, we find bounds on the distribution of the maximum loss of fractional Brownian motion with H≥1/2 and derive estimates on its tail probability. Asymptotically, the tail of the distribution of maximum loss over [0,t] behaves like the tail of the marginal distribution at time t.

Keywords: Maximum drawdown; Maximum loss; Fractional Brownian motion; Large deviation; Gaussian process (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2013.09.008

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