Ruin probability for Gaussian integrated processes.

DOI10.1016/S0304-4149(01)00143-0zbMath1059.60047WikidataQ127220208 ScholiaQ127220208MaRDI QIDQ1766059

Krzysztof Dȩbicki

Publication date: 25 February 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motionGaussian processlogarithmic asymptoticsextremesPickands constantsexact asymptotics

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Performance evaluation, queueing, and scheduling in the context of computer systems (68M20)

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Cites Work

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• A storage model with self-similar input
• Extremes of a certain class of Gaussian processes
• A Gaussian fluid model
• A note on LDP for supremum of Gaussian processes over infinite horizon
• Large buffer asymptotics for the queue with fractional Brownian input
• Upcrossing Probabilities for Stationary Gaussian Processes
• Asymptotic Properties of the Maximum in a Stationary Gaussian Process

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