Actuarial Science Seminar: Optimization of small deviations for mixed fractional Brownian motion with trend
Yuliya Mishura, Taras Shevchenko National University of Kyiv, Ukraine
Friday 8 March 2019 (10h30 - 11h15) - Extranef - 118
We investigate two-sided bounds for the small ball probability of a mixed fractional Brownian motion with a general deterministic trend function, in terms of respective small ball probability of a mixed fractional Brownian motion without trend. To maximize the lower bound, we consider various ways to split the trend function between the components of the mixed fractional Brownian motion for the application of Girsanov theorem, and we show that the optimal split is the solution of a Fredholm integral equation. We find that the upper bound for the probability is also a function of this optimal split. The asymptotic behaviour of the probability as the ball becomes small is analysed for zero trend function and for the particular choice of the upper limiting function.