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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| Datum: | 2006 |
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Інститут математики НАН України
2006
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| Online Zugang: | https://nasplib.isofts.kiev.ua/handle/123456789/4470 |
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| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Zitieren: | 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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Digital Library of Periodicals of National Academy of Sciences of Ukraine| _version_ | 1862717088034979840 |
|---|---|
| author | Yamnenko, R. |
| author_facet | Yamnenko, R. |
| 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. |
| collection | DSpace DC |
| 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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| first_indexed | 2025-12-07T18:09:10Z |
| format | Article |
| fulltext | |
| id | nasplib_isofts_kiev_ua-123456789-4470 |
| institution | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| issn | 0321-3900 |
| language | English |
| last_indexed | 2025-12-07T18:09:10Z |
| publishDate | 2006 |
| publisher | Інститут математики НАН України |
| record_format | dspace |
| spelling | 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 |
| spellingShingle | Ruin probability for generalized φ-sub-Gaussian fractional Brownian motion Yamnenko, R. |
| title | 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_short | Ruin probability for generalized φ-sub-Gaussian fractional Brownian motion |
| title_sort | ruin probability for generalized φ-sub-gaussian fractional brownian motion |
| url | https://nasplib.isofts.kiev.ua/handle/123456789/4470 |
| work_keys_str_mv | AT yamnenkor ruinprobabilityforgeneralizedφsubgaussianfractionalbrownianmotion |