Ruin probability for generalized φ-sub-Gaussian fractional Brownian motion
Vernadsky National Library of Ukraine
Переглянути архів Інформація| Поле | Співвідношення | |
| Title |
Ruin probability for generalized φ-sub-Gaussian fractional Brownian motion
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| Creator |
Yamnenko, R.
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| Description |
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 process we obtain estimate of the ruin probability. |
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| Date |
2009-11-11T15:30:31Z
2009-11-11T15:30:31Z 2006 |
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| Type |
Article
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| Identifier |
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.
0321-3900 http://dspace.nbuv.gov.ua/handle/123456789/4470 |
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| Language |
en
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| Publisher |
Інститут математики НАН України
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