Concentration properties of the truncated variation functional of fractional Brownian motions of any Hurst index

Speaker(s)

Witold Bednorz

Affiliation

Uniwersytet Warszawski

Language of the talk

English

Date

June 5, 2025, 12:15 p.m.

Room

room 3160

Title in Polish

Concentration properties of the truncated variation functional of fractional Brownian motions of any Hurst index

Seminar

Seminar of Probability Group

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We obtain bounds for probabilities of deviations of the truncated variation functional of fractional Brownian motions of any Hurst index H in (0; 1) from their expected values. Obtained bounds are optimal for large values of deviations up to multiplicative constants depending on the parameter H only.
 

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