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Extremes of multifractional Brownian motion. (arXiv:1711.05725v1 [math.PR])
来源于:arXiv
Let $B_{H}(t), t\geq [0,T], T\in(0,\infty)$ be the standard Multifractional
Brownian Motion(mBm), in this contribution we are concerned with the exact
asymptotics of \begin{eqnarray*}
\mathbb{P}\left\{\sup_{t\in[0,T]}B_{H}(t)>u\right\} \end{eqnarray*} as
$u\rightarrow\infty$. Mainly depended on the structures of $H(t)$, the results
under several important cases are investigated. 查看全文>>