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).
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| Date: | 2006 |
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| Main Author: | |
| Format: | Article |
| Language: | English |
| Published: |
Інститут математики НАН України
2006
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| Online Access: | https://nasplib.isofts.kiev.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. |