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arXiv · 2201.00706

Lower bound for the expected supremum of fractional Brownian motion using coupling

Krzysztof Bisewski
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Abstract

We derive a new theoretical lower bound for the expected supremum of drifted fractional Brownian motion with Hurst index $H\in(0,1)$ over (in)finite time horizon. Extensive simulation experiments indicate that our lower bound outperforms the Monte Carlo estimates based on very dense grids for $H\in(0,\tfrac{1}{2})$. Additionally, we derive the Paley-Wiener-Zygmund representation of a Linear Fractional Brownian motion and give an explicit expression for the derivative of the expected supremum at $H=\tfrac{1}{2}$ in the sense of recent work by Bisewski, Dębicki & Rolski (2021).

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Krzysztof Bisewski. 2022-01-03. Lower bound for the expected supremum of fractional Brownian motion using coupling. https://arxiv.org/abs/2201.00706

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