Bounds for expected supremum of fractional Brownian motion with drift

Krzysztof Bisewski, Krzysztof Debicki, Michel Mandjes. Bounds for expected supremum of fractional Brownian motion with drift. J. Applied Probability, 58(2):411-427, 2021. [doi]

Authors

Krzysztof Bisewski

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Krzysztof Debicki

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Michel Mandjes

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