Extremes of multifractional Brownian motion (1711.05725v2)

Abstract: Let $B_{H}(t), t\geq [0,T], T\in(0,\infty)$ be the standard Multifractional Brownian Motion(mBm), in this contribution we are concerned with the exact asymptotics of \begin{eqnarray*} \mathbb{P}\left{\sup_{t\in[0,T]}B_{H}(t)>u\right} \end{eqnarray*} as $u\rightarrow\infty$. Mainly depended on the structures of $H(t)$, the results under several important cases are investigated.