Ruin probability for generalized φ-sub-Gaussian fractional Brownian motion

In this paper we investigate the ruin problem for the generalized φ-sub-Gaussian fractional Brownian motion (FBM). Such random process has the same covariation function as FBM but its trajectories belong to the space of φ-sub-Gaussian random variables (i.e. not necessarily Gaussian). For this risk...

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Bibliographic Details
Date:2006
Main Author: Yamnenko, R.
Format: Article
Language:English
Published: Інститут математики НАН України 2006
Online Access:http://dspace.nbuv.gov.ua/handle/123456789/4470
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Journal Title:Digital Library of Periodicals of National Academy of Sciences of Ukraine
Cite this:Ruin probability for generalized φ-sub-Gaussian fractional Brownian motion / R. Yamnenko // Theory of Stochastic Processes. — 2006. — Т. 12 (28), № 3-4. — С. 261–275. — Бібліогр.: 9 назв.— англ.

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Digital Library of Periodicals of National Academy of Sciences of Ukraine