Bounds for expected supremum of fractional Brownian motion with drift

Krzysztof Bisewski, Krzysztof Dębicki, Michel Mandjes

We provide upper and lower bounds for the mean $\mathcal{M}(H)$ of ${\sup }_{t⩾0}\{B_H(t)-t\}$, with $B_H(\cdot )$ a zero-mean, variance-normalized version of fractional B…