Large Deviations of Shepp Statistics for Fractional Brownian Motion

Define the incremental fractional Brownian field $B_{H}(s+τ)-B_{H}(s), H\in (0,1)$, where $B_{H}(s)$ is a standard fractional Brownian motion with Hurst index $H\in(0,1)$. In this paper we derive the exact asymptotic behaviour of the maximum $\max_{(τ,s)\in[0,1]\times[0,T]} (B_{H}(s+τ)-B_{H}(s))$ for any $H\in (0,1/2)$ complimenting thus the result of Zholud (2008) for the Brownian motion.

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