Large deviations of a storage process with fractional Brownian motion as input
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Publication:1848527
DOI10.1023/A:1013973109998zbMath1003.60053OpenAlexW1883029504MaRDI QIDQ1848527
Publication date: 21 November 2002
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1013973109998
Related Items (30)
Some limit results on supremum of Shepp statistics for fractional Brownian motion ⋮ On overload in a storage model, with a self-similar and infinitely divisible input. ⋮ Extremes of a class of nonhomogeneous Gaussian random fields ⋮ Extremes of stationary Gaussian storage models ⋮ Limit theorems for extremes of strongly dependent cyclo-stationary \(\chi \)-processes ⋮ Approximation of the maximum of storage process with fractional Brownian motion as input ⋮ Extremes and First Passage Times of Correlated Fractional Brownian Motions ⋮ On asymptotic distribution of maxima of complete and incomplete samples from stationary sequences ⋮ Approximation of Passage Times of γ-Reflected Processes with FBM Input ⋮ Extrema of a Gaussian random field: Berman's sojourn time method ⋮ Sojourns of fractional Brownian motion queues: transient asymptotics ⋮ Editorial introduction: special issue on Gaussian queues ⋮ An Erdös-Révész type law of the iterated logarithm for reflected fractional Brownian motion ⋮ On average losses in the ruin problem with fractional Brownian motion as input ⋮ Extremes of reflecting Gaussian processes on discrete grid ⋮ Extremes of vector-valued Gaussian processes ⋮ Unnamed Item ⋮ Large deviations of Shepp statistics for fractional Brownian motion ⋮ Exact asymptotics and limit theorems for supremum of stationary \(\chi\)-processes over a random interval ⋮ On the infimum attained by the reflected fractional Brownian motion ⋮ Extremes of Shepp statistics for fractional Brownian motion ⋮ Maximal Inequalities for Fractional Brownian Motion: An Overview ⋮ Limit theorem for maximum of the storage process with fractional Brownian motion as input ⋮ Limit laws on extremes of nonhomogeneous Gaussian random fields ⋮ Extremes of locally stationary chi-square processes with trend ⋮ Extremal behavior of squared Bessel processes attracted by the Brown-Resnick process ⋮ Maximum of a partial sample in the uniform AR(1) processes ⋮ Drawdown and drawup for fractional Brownian motion with trend ⋮ Sample path properties of reflected Gaussian processes ⋮ Piterbarg theorems for chi-processes with trend
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