On the supremum of -reflected processes with fractional Brownian motion as input

DOI10.1016/J.SPA.2013.06.007zbMATH Open1316.60054arXiv1306.2000OpenAlexW2109162559MaRDI QIDQ2350352FDOQ2350352

Authors: Enkelejd Hashorva, Lanpeng Ji, V. I. Piterbarg 

Publication date: 19 June 2015

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

Abstract: Let $X_H(t),tge0$ be a fractional Brownian motion with Hurst index $$ and define a gamma-reflected process $W_{G}a(t)=X_H(t)-ct-gammain{f}_{sin[0,t]}left(X_H(s)-csight)$, $tge0$ with $c>0,gammain[0,1]$ two given constants. In this paper we establish the exact tail asymptotic behaviour of $su{p}_{tin[0,T]}{W}_{g}amma(t)$ for any $Tin(0,IF]$. Furthermore, we derive the exact tail asymptotic behaviour of the supremum of certain non-homogeneous mean-zero Gaussian random fields.

Full work available at URL: https://arxiv.org/abs/1306.2000

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zbMATH Keywords

Gaussian random fieldsfractional Brownian motionruin probabilityextremesexact asymptotics\(\gamma\)-reflected process

Mathematics Subject Classification ID

Gaussian processes (60G15) Random fields (60G60) Extreme value theory; extremal stochastic processes (60G70) Fractional processes, including fractional Brownian motion (60G22)

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• On the reflected fractional Brownian motion process on the positive orthant: asymptotics for a maximum with application to queueing networks

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