On the ruin probability for physical fractional Brownian motion

被引：38

作者：

Hüsler, J

Piterbarg, V

机构：

[1] Univ Bern, Dept Math Stat, CH-3012 Bern, Switzerland

[2] Moscow MV Lomonosov State Univ, Moscow, Russia

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2004年 / 113卷 / 02期

关键词：

ruin probability; Gaussian processes; fractional brownian motion; long-range dependence; regular variation;

D O I：

10.1016/j.spa.2004.04.004

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We derive the exact asymptotic behavior of the ruin probability P{X(t) > x for some t > 0} for the process X(t) = integral(0)(1) xi(s) ds - ct, 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 is an element of (- 1, 0). (C) 2004 Elsevier B.V. All rights reserved.

引用

页码：315 / 332

页数：18

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Bingham N. H., 1987, Regular Variation

[2]

de Haan L., 1970, MATH CTR TRACTS, V32

[3] Ruin probability for Gaussian integrated processes [J].