Large Deviations of Shepp Statistics for Fractional Brownian Motion

Enkelejd Hashorva, Zhongquan Tan

Define the incremental fractional Brownian field $B_H(s+\tau )-B_H(s),H\in (0,1)$, where $B_H(s)$ is a standard fractional Brownian motion with Hurst index $H\in (0,1)$. In this…