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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| Дата: | 2006 |
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| Автор: | |
| Формат: | Стаття |
| Мова: | English |
| Опубліковано: |
Інститут математики НАН України
2006
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| Онлайн доступ: | http://dspace.nbuv.gov.ua/handle/123456789/4470 |
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| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Цитувати: | 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. |
Репозитарії
Digital Library of Periodicals of National Academy of Sciences of Ukraine| Резюме: | 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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