An estimate of ruin probabilities for long range dependence models

Theory of Probability and Mathematical Statistics

Volumn 72, Issue , 2006, Pages 103-111

  Mishura, Yulia ^a  

^a TARAS SHEVCHENKO NATIONAL UNIVERSITY OF KYIV   (Ukraine)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85009783293     PISSN: 00949000     EISSN: 15477363     Source Type: Journal    
DOI: 10.1090/S0094-9000-06-00668-5     Document Type: Article

References (5)

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2. P. Cheridito, Regularizing Fractional Brownian Motion With a View Towards Stock Price Modelling, Ph.D. Thesis, ETH, Zürich, 2001.
3. M. Zähle, Integration with respect to fractal functions and stochastic calculus I, Prob. Theory Related Fields 111 (1998), 333–374. MR1640795 (99j:60073)
4. I. Norros, E. Valkeila, and J. Virtamo, An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions, Bernoulli 5 (1999), no. 4, 571–587. MR1640795 (99j:60073)
5. A. N. Shiryaev, On arbitrage and replication for fractal models, Research Report, vol. 20, MaPhySto, 1998.