Simulation of an integro-differential equation and application in estimation of ruin probability with mixed fractional Brownian motion (Q2039768)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Simulation of an integro-differential equation and application in estimation of ruin probability with mixed fractional Brownian motion |
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Simulation of an integro-differential equation and application in estimation of ruin probability with mixed fractional Brownian motion |
scientific article |
Statements
Simulation of an integro-differential equation and application in estimation of ruin probability with mixed fractional Brownian motion (English)
0 references
5 July 2021
0 references
estimation of ruin probability
0 references
fundamental martingale
0 references
Girsanov theorem
0 references
integro-differential equation
0 references
mixed fractional Brownian motion
0 references
