On tail probabilities and first passage times for fractional Brownian motion (Q1974576): Difference between revisions

Let \(\{B_H(t),t\geq 0\}\) be the fractional Brownian motion with parameter of selfsimilarity \(H\in(1/2,1]\). Denote \(\tau(u)=\inf\{t>0:B_H(t)-t< u\}\). The aim of the paper is to present a method of simulation of the ruin probability \(P(\tau(u) <\infty)\). The method is based on a formula derived from Girsanov type result for fractional Brownian motion. The author obtains also some theoretical results which show how fast the method works. Applying an asymptotic formula (when \(u\to\infty)\) which gives a relation between \(P(\tau (u)< \infty)\) and the Pickands constant \(P_H\) the author computes \(P_H\) numerically for several values of \(H\).