On the ruin probability for Gaussian integrated process disturbed by diffusion

MaRDI QIDQ5319338zbMATH OpenFDO

Authors Xiaoxia He, Yijun Hu

Publication date 22 July 2009

zbMATH Keywords

Brownian motionGaussian processlarge deviation principlelogarithmic asymptotic

Mathematics Subject Classification ID

Large deviations (60F10) Gaussian processes (60G15)

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Cited in

(5)

• On the ruin probability for physical fractional Brownian motion
• Limit theorem for the moment of ruin for integrated Gaussian stationary process with power function as profit
• Ruin probability for a Gaussian process with variance attaining its maximum on discrete sets
• A problem on ruin with power losses for a stationary Gaussian process
• Ruin Probability for the Integrated Gaussian Process with Force of Interest

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