TY - JOUR AU - Liu, Peng AB - We consider the drawdown and drawup of a fractional Brownian motion with trend, which corresponds to the logarithm of geometric fractional Brownian motion representing the stock price in a financial market. We derive the asymptotics of tail probabilities of the maximum drawdown and maximum drawup, respectively, as the threshold goes to infinity. It turns out that the extremes of drawdown lead to new scenarios of asymptotics depending on the Hurst index of fractional Brownian motion. TI - Drawdown and Drawup for Fractional Brownian Motion with Trend JF - Journal of Theoretical Probability DO - 10.1007/s10959-018-0836-y DA - 2018-06-06 UR - https://www.deepdyve.com/lp/springer-journals/drawdown-and-drawup-for-fractional-brownian-motion-with-trend-8NbUS6MRKG SP - 1581 EP - 1612 VL - 32 IS - 3 DP - DeepDyve ER -