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

Prelegent(ci)

Witold Bednorz

Afiliacja

Uniwersytet Warszawski

Język referatu

angielski

Termin

5 czerwca 2025 12:15

Pokój

p. 3160

Tytuł w języku polskim

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

Seminarium

Seminarium Zakładu Rachunku Prawdopodobieństwa

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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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