On the ruin probability for physical fractional Brownian motion

J. Hüsler and Vladimir Piterbarg ()

Stochastic Processes and their Applications, 2004, vol. 113, issue 2, 315-332

Abstract: 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).

Keywords: Ruin; probability; Gaussian; processes; Fractional; Brownian; motion; Long-range; dependence; Regular; variation (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (8)

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