The ruin problem for the stationary gaussian process

Theory of Probability and its Applications

Volumn 49, Issue 1, 2005, Pages 155-163

  Kobelkov, S G ^a  

^a MOSCOW STATE UNIVERSITY   (Russian Federation)

Author keywords

Gaussian process; Rice method; Ruin probability

Indexed keywords

EID: 17544370018     PISSN: 0040585X     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0040585X97980932     Document Type: Article

References (8)

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3. J. HÜSLER AND V. PITERBARG, Extremes of a certain class of Gaussian processes, Stochastic Process. Appl., 83 (1999), pp. 257-271.
4. M. V. FEDORYUK, Saddle-point Method, Nauka, Moscow, 1977 (in Russian).
5. K. DEBICKI, Ruin probability for Gaussian integrated processes, Stochastic Process. Appl., 98 (2002), pp. 151-174.
6. V. KULKARNI AND T. ROLSKI, Fluid model driven by an Ornstein-Uhlenbeck process, Probab. Engrg. Inform. Sci., 8 (1994), pp. 403-417.
7. I. NORROS, A storage model with self-similar input, Queueing Systems Theory Appl., 16 (1994), pp. 387-396.
8. O. NARAYAN, Exact asymptotic queue length distribution for fractional Brownian traffic, Advances in Performance Analysis, 1 (1998), pp. 39-63.