Estimates for moments of supremum of reflected fractional Brownian motion

Details Estimates for moments of supremum of reflected fractional Brownian motion Estimates for moments of supremum of reflected fractional Brownian motion

2009-12-16

arxiv.org/abs/0912.3117v1

Mathematics

Probability

Scientific paper

Let $B_H(\cdot)$ be a fractional Brownian motion with Hurst parameter
$H\in(0,1]$. Motivated by applications to maximal inequalities for fractional
Brownian motion, in this note we derive bounds for
K_T(H,\gamma):=E[\sup_{t\in[0,T]}|B_H(t)|]^\gamma, with $\gamma, T>0$.

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