On tail probabilities and first passage times for fractional Brownian motion
Zbigniew Michna
Mathematical Methods of Operations Research, 1999, vol. 49, issue 2, 335-354
Abstract:
In the paper we present a method of simulation of ruin probability over infinite horizon for fractional Brownian motion with parameter of self-similarity H >½. We derive some theoretical results which show how fast the method works. As an application of our method we numerically compute the Pickands constant. Copyright Springer-Verlag Berlin Heidelberg 1999
Keywords: Key words: Fractional Brownian motion; first passage time; simulation of ruin probability; Monte Carlo method; Pickands constant (search for similar items in EconPapers)
Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:spr:mathme:v:49:y:1999:i:2:p:335-354
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DOI: 10.1007/PL00020921
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