On the maximum of the discretely sampled fractional Brownian motion with small Hurst parameter
Konstantin Borovkov, Mikhail Zhitlukhin
Electronic Communications in Probability | UNIV WASHINGTON, DEPT MATHEMATICS | Published : 2018
Some of the presented results were obtained when the authors were taking part in the "Mathematics of Risk" program ran at the MATRIX Research Institute in 2017. We are grateful to MATRIX for its support and hospitality. The authors are also grateful to the anonymous referee whose comments helped to improve the exposition of this paper.