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Extreme values of derivatives of smoothed fractional Brownian motions
Extreme values of derivatives smoothed fractional Brownian motions
2009/9/22
Let B,(.) be a fractional Brownian motion on R
with parameter 1/2 < H < 1, and consider its smoothed version
b;Hj K((t- sj/b,)BH(s) ds, teR, where the kernel K ( . ) is a density function
and the b...