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Structural Characterization of Taboo-Stationarity for General Processes in Two-sided Time
Quasi-stationarity
2015/7/8
This note considers the taboo counterpart ofstationarity. A general stochastic process in two-sided time is de.ned to be taboo-stationary if its global distribution does not change by shifting the ori...
On Convergence to Stationarity of Fractional Brownian Storage
Convergence to stationarity fractional Brownian motion storage process large deviations.
2015/7/6
With M(t):= sup0≤s≤t A(s)−s denoting the running maximum of a fractional Brownian motion A(·) with negative drift, this paper studies the rate of convergence of P(M(t)>x) to P(M>x). We define tw...