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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| Date: | 2006 |
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| Format: | Article |
| Language: | English |
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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. |
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Yamnenko, R. 2009-11-11T15:30:31Z 2009-11-11T15:30:31Z 2006 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 https://nasplib.isofts.kiev.ua/handle/123456789/4470 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. en Інститут математики НАН України Ruin probability for generalized φ-sub-Gaussian fractional Brownian motion Article published earlier |
| institution |
Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| collection |
DSpace DC |
| title |
Ruin probability for generalized φ-sub-Gaussian fractional Brownian motion |
| spellingShingle |
Ruin probability for generalized φ-sub-Gaussian fractional Brownian motion Yamnenko, R. |
| 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 |
| author |
Yamnenko, R. |
| author_facet |
Yamnenko, R. |
| publishDate |
2006 |
| language |
English |
| publisher |
Інститут математики НАН України |
| format |
Article |
| 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.
|
| issn |
0321-3900 |
| url |
https://nasplib.isofts.kiev.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 ruinprobabilityforgeneralizedφsubgaussianfractionalbrownianmotion |
| first_indexed |
2025-12-07T18:09:10Z |
| last_indexed |
2025-12-07T18:09:10Z |
| _version_ |
1850873951059705856 |