Ruin probability for generalized φ-sub-Gaussian fractional Brownian motion

• Datum: 2006
• 1. Verfasser: Yamnenko, R.
• Format: Artikel
• Sprache: Englisch
• Veröffentlicht: Інститут математики НАН України 2006
• Online Zugang: https://nasplib.isofts.kiev.ua/handle/123456789/4470
• 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.

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 th...