Ruin probability at a given time for a model with liabilities of the fractional Brownian motion type: A partial differential equation approach (Q3440865): Difference between revisions

Latest revision as of 19:16, 25 June 2024

scientific article

Language	Label	Description	Also known as
English	Ruin probability at a given time for a model with liabilities of the fractional Brownian motion type: A partial differential equation approach	scientific article

Statements

instance of

scholarly article

0 references

title

Ruin probability at a given time for a model with liabilities of the fractional Brownian motion type: A partial differential equation approach (English)

0 references

author

Nikolaos E. Frangos

0 references

Spyridon D. Vrontos

0 references

Athanasios N. Yannacopoulos

0 references

published in

Scandinavian Actuarial Journal

0 references

publication date

29 May 2007

0 references

zbMATH Keywords

ruin probability

0 references

fractional Brownian motion

0 references

fractional Ito's calculus

0 references

partial differential equations

0 references

MaRDI profile type

MaRDI publication profile

0 references

full work available at URL

https://doi.org/10.1080/03461230510009790

0 references

cites work

Stock market prices and long-range dependence

0 references

Measuring anti-correlations in the nordic electricity spot market by wavelets

0 references

On tail probabilities and first passage times for fractional Brownian motion

0 references

Ruin probability for Gaussian integrated processes.

0 references

Extremes of a certain class of Gaussian processes

0 references

Ruin problems with assets and liabilities of diffusion type

0 references

Stochastic Calculus for Fractional Brownian Motion I. Theory

0 references

Modelling of stock price changes: a real analysis approach

0 references

Stochastic analysis of the fractional Brownian motion

0 references

The wavelet-based synthesis for fractional Brownian motion proposed by F. Sellan and Y. Meyer: Remarks and fast implementation

0 references

Identifiers

zbMATH Open document ID

1143.91028

0 references

DOI

10.1080/03461230510009790

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:3440865

@@ Property / cites work @@
+Stock market prices and long-range dependence
@@ Property / cites work: Stock market prices and long-range dependence / rank @@
+Normal rank
@@ Property / cites work @@
+Measuring anti-correlations in the nordic electricity spot market by wavelets
+Normal rank
@@ Property / cites work @@
+Self-similar processes in collective risk theory
@@ Property / cites work: Self-similar processes in collective risk theory / rank @@
+Normal rank
@@ Property / cites work @@
+On tail probabilities and first passage times for fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Ruin probability for Gaussian integrated processes.
+Normal rank
@@ Property / cites work @@
+Extremes of a certain class of Gaussian processes
@@ Property / cites work: Extremes of a certain class of Gaussian processes / rank @@
+Normal rank
@@ Property / cites work @@
+Ruin problems with assets and liabilities of diffusion type
+Normal rank
@@ Property / cites work @@
+Stochastic Calculus for Fractional Brownian Motion I. Theory
+Normal rank
@@ Property / cites work @@
+Modelling of stock price changes: a real analysis approach
+Normal rank
@@ Property / cites work @@
+Stochastic analysis of the fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+The wavelet-based synthesis for fractional Brownian motion proposed by F. Sellan and Y. Meyer: Remarks and fast implementation
+Normal rank