Limit theorem for maximum of the storage process with fractional Brownian motion as input

Stochastic Processes and their Applications

Volumn 114, Issue 2, 2004, Pages 231-250

  Hüsler, Jürg ^a   Piterbarg, Vladimir ^a  

^a UNIVERSITY OF BERN   (Switzerland)

Author keywords

Dense grid; Fractional Brownian motion; Limit distribution; Maximum; Storage process

Indexed keywords

APPROXIMATION THEORY; ASYMPTOTIC STABILITY; BROWNIAN MOVEMENT; CONVERGENCE OF NUMERICAL METHODS; PROBABILITY DENSITY FUNCTION; PROBABILITY DISTRIBUTIONS; THEOREM PROVING;

DENSE GRID; FRACTIONAL BROWNIAN MOTION; GUMBEL DISTRIBUTION; LIMIT DISTRIBUTION; STORAGE PROCESS;

QUEUEING THEORY;

EID: 8544219756     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2004.07.002     Document Type: Article

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