Maximum of a Fractional Brownian Motion: Probabilities of Small Values

Theory of reproducing kernels

N. Aronszajn · Transactions of the American Mathematical Society · 1950 · 5.4K citations · Full text

Natural Sciences, Mathematics, Computational Geometry +9

Diffusion Processes and Their Sample Paths.

PALE, Kiyosi Itô, H. P. McKean · Journal of the American Statistical Association · 1996 · 1.7K citations

Engineering, Mathematics, Financial Economics +16

Distribution of the first return time in fractional Brownian motion and its application to the study of on-off intermittency

Mingzhou Ding, Weiming Yang · Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics · 1995 · 164 citations

Engineering, Mathematics, Physics +12

An asymptotic formula for the Kolmogorov diffusion and a refinement of Sinai's estimates for the integral of Brownian motion

Yasuki Isozaki, Shinzo Watanabe · Proceedings of the Japan Academy Series A Mathematical Sciences · 1994 · 33 citations · Full text

Engineering, Mathematics, Probability Theory +11