On the maximum of discretely sampled fractional Brownian motion with small Hurst parameter

Abstract

We show that the distribution of the maximum of the fractional Brownian motion $B^H$ with Hurst parameter $H\to 0$ over an $n$-point set $\tau \subset [0,1]$ can be approximated by the normal law with mean $\sqrt{\ln n}$ and variance $1/2$ provided that $n\to \infty$ slowly enough and the points in $\tau$ are not too close to each other.

9 pages, 1 figure