73 citations · 244 across the 6 of their papers we have counts for
Showing 2016 · cond-mat.stat-mechShow all
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cond-mat.stat-mech2016★ 23 cited
Pickands' constant at first order in an expansion around Brownian motion
Mathieu Delorme, Alberto Rosso, Kay Jörg Wiese
In the theory of extreme values of Gaussian processes, many results are expressed in terms of the Pickands constant . This constant depends on the local self-similar…
cond-mat.stat-mech2016★ 53 cited
Extreme-Value Statistics of Fractional Brownian Motion Bridges
Mathieu Delorme, Kay Jörg Wiese
Fractional Brownian motion is a self-affine, non-Markovian and translationally invariant generalization of Brownian motion, depending on the Hurst exponent . Here we investigate…
cond-mat.stat-mech2016★ 40 cited
Perturbative Expansion for the Maximum of Fractional Brownian Motion
Mathieu Delorme, Kay Jörg Wiese
Brownian motion is the only random process which is Gaussian, stationary and Markovian. Dropping the Markovian property, i.e. allowing for memory, one obtains a class of processes…