On the ruin probability for physical fractional Brownian motion

Stochastic Processes and their Applications

Volumn 113, Issue 2, 2004, Pages 315-332

  Hüsler, Juerg ^a   Piterbarg, V ^b  

^a UNIVERSITY OF BERN   (Switzerland)

^b MOSCOW STATE UNIVERSITY   (Russian Federation)

Author keywords

Fractional Brownian motion; Gaussian processes; Long range dependence; Regular variation; Ruin probability

Indexed keywords

EID: 4544382418     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2004.04.004     Document Type: Article

References (7)

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5. M.R. Leadbetter G. Lindgren H. Rootzén Extremes and Related Properties of Random Sequences and Processes, Springer Series in Statistics, Springer, New York, 1983
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7. Piterbarg V.I. Asymptotic Methods in the Theory of Gaussian Processes and Fields 1996 American Mathematical Society Providence, RI