On the ruin probability for physical fractional Brownian motion
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- Hüsler, J. & Piterbarg, V., 1999. "Extremes of a certain class of Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 83(2), pages 257-271, October.
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Cited by:
- Dieker, A.B., 2005. "Extremes of Gaussian processes over an infinite horizon," Stochastic Processes and their Applications, Elsevier, vol. 115(2), pages 207-248, February.
- Barbe, Ph. & McCormick, W.P., 2010. "An extension of a logarithmic form of Cramér's ruin theorem to some FARIMA and related processes," Stochastic Processes and their Applications, Elsevier, vol. 120(6), pages 801-828, June.
- Long Bai & Peng Liu, 2019. "Drawdown and Drawup for Fractional Brownian Motion with Trend," Journal of Theoretical Probability, Springer, vol. 32(3), pages 1581-1612, September.
- Bisewski, Krzysztof & Dȩbicki, Krzysztof & Kriukov, Nikolai, 2023. "Simultaneous ruin probability for multivariate Gaussian risk model," Stochastic Processes and their Applications, Elsevier, vol. 160(C), pages 386-408.
- De[combining cedilla]bicki, Krzysztof & Kisowski, Pawel, 2008. "Asymptotics of supremum distribution of [alpha](t)-locally stationary Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 118(11), pages 2022-2037, November.
- Zhongquan Tan & Shengchao Zheng, 2020. "Extremes of a Type of Locally Stationary Gaussian Random Fields with Applications to Shepp Statistics," Journal of Theoretical Probability, Springer, vol. 33(4), pages 2258-2279, December.
- Ghosh, Souvik & Samorodnitsky, Gennady, 2010. "Long strange segments, ruin probabilities and the effect of memory on moving average processes," Stochastic Processes and their Applications, Elsevier, vol. 120(12), pages 2302-2330, December.
- Krzysztof Dȩbicki & Peng Liu & Zbigniew Michna, 2020. "Sojourn Times of Gaussian Processes with Trend," Journal of Theoretical Probability, Springer, vol. 33(4), pages 2119-2166, December.
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Keywords
Ruin probability Gaussian processes Fractional Brownian motion Long-range dependence Regular variation;Statistics
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