Title of article
On the ruin probability for physical fractional Brownian motion
Author/Authors
Hüsler، نويسنده , , J. and Piterbarg، نويسنده , , V.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2004
Pages
18
From page
315
To page
332
Abstract
We derive the exact asymptotic behavior of the ruin probability P{X(t)>x for some t>0} for the process X(t)=∫0tξ(s) ds−ct, with respect to level x which tends to infinity. We assume that the underlying process ξ(t) is a.s. continuous stationary Gaussian with mean zero and correlation function regularly varying at infinity with index −a∈(−1,0).
Keywords
Ruin probability , Gaussian processes , long-range dependence , Regular variation , Fractional Brownian motion
Journal title
Stochastic Processes and their Applications
Serial Year
2004
Journal title
Stochastic Processes and their Applications
Record number
1577478
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