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On the ruin probability for physical fractional Brownian motion

We derive the exact asymptotic behavior of the ruin probability P{X(t)>x for some t>0} for the process , with respect to level x which tends to infinity. We assume that the underlying process [xi](t) is a.s. continuous stationary Gaussian with mean zero and correlation function regularly varying at infinity with index -a[set membership, variant](-1,0).
Year of publication:
2004
Authors: Hüsler, J. ; Piterbarg, V.
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 113.2004, 2, p. 315-332
Publisher: Elsevier
Keywords: Ruin probability Gaussian processes Fractional Brownian motion Long-range dependence Regular variation
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008872658
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