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...
Збережено в:
| Дата: | 2006 |
|---|---|
| Автор: | |
| Формат: | Стаття |
| Мова: | English |
| Опубліковано: |
Інститут математики НАН України
2006
|
| Онлайн доступ: | http://dspace.nbuv.gov.ua/handle/123456789/4470 |
| Теги: |
Додати тег
Немає тегів, Будьте першим, хто поставить тег для цього запису!
|
| 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| id |
irk-123456789-4470 |
|---|---|
| record_format |
dspace |
| spelling |
irk-123456789-44702009-11-24T18:33:31Z Ruin probability for generalized φ-sub-Gaussian fractional Brownian motion Yamnenko, R. 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. 2006 Article 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 en Інститут математики НАН України |
| institution |
Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| collection |
DSpace DC |
| language |
English |
| 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. |
| format |
Article |
| author |
Yamnenko, R. |
| spellingShingle |
Yamnenko, R. Ruin probability for generalized φ-sub-Gaussian fractional Brownian motion |
| author_facet |
Yamnenko, R. |
| author_sort |
Yamnenko, R. |
| title |
Ruin probability for generalized φ-sub-Gaussian fractional Brownian motion |
| title_short |
Ruin probability for generalized φ-sub-Gaussian fractional Brownian motion |
| title_full |
Ruin probability for generalized φ-sub-Gaussian fractional Brownian motion |
| title_fullStr |
Ruin probability for generalized φ-sub-Gaussian fractional Brownian motion |
| title_full_unstemmed |
Ruin probability for generalized φ-sub-Gaussian fractional Brownian motion |
| title_sort |
ruin probability for generalized φ-sub-gaussian fractional brownian motion |
| publisher |
Інститут математики НАН України |
| publishDate |
2006 |
| url |
http://dspace.nbuv.gov.ua/handle/123456789/4470 |
| citation_txt |
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. |
| work_keys_str_mv |
AT yamnenkor ruinprobabilityforgeneralizedphsubgaussianfractionalbrownianmotion |
| first_indexed |
2023-03-24T08:30:17Z |
| last_indexed |
2023-03-24T08:30:17Z |
| _version_ |
1796139183981461504 |