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Mathematics  2009 

Estimates for moments of supremum of reflected fractional Brownian motion

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Abstract:

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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