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

DOI10.1016/J.SPA.2013.06.007MaRDI QIDQ2350352zbMATH OpenOpenAlexFDO

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)

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

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)

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.

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Cited in

(34)

• Editorial introduction: special issue on Gaussian queues
• Limit laws on extremes of nonhomogeneous Gaussian random fields
• On the reflected fractional Brownian motion process on the positive orthant: asymptotics for a maximum with application to queueing networks
• Parisian ruin of self-similar Gaussian risk processes
• Extremes of standard multifractional Brownian motion
• Ruin problem of a two-dimensional fractional Brownian motion risk process
• Some limit results on supremum of Shepp statistics for fractional Brownian motion
• Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals
• Extremes of a class of nonhomogeneous Gaussian random fields
• Gaussian risk models with financial constraints
• Extremes and First Passage Times of Correlated Fractional Brownian Motions
• On the infimum attained by the reflected fractional Brownian motion
• Extremes of stationary Gaussian storage models
• Addendum to ``Moments of gamma type and the Brownian supremum process area
• Approximation of ruin probability and ruin time in discrete Brownian risk models
• Parisian ruin over a finite-time horizon
• Extremes of \(\gamma\)-reflected Gaussian processes with stationary increments
• Extremes of Shepp statistics for fractional Brownian motion
• Approximation of the maximum of storage process with fractional Brownian motion as input
• On the -reflected processes with fBm input
• Sample path properties of reflected Gaussian processes
• On Piterbarg's max-discretisation theorem for multivariate stationary Gaussian processes
• Large deviations and long-time behavior of stochastic fluid queues with generalized fractional Brownian motion input
• An Erdős-Révész type law of the iterated logarithm for order statistics of a stationary Gaussian process
• Extremes of threshold-dependent Gaussian processes
• Results on the supremum of fractional Brownian motion
• The distribution of the supremum of a $\gamma $-reflected stochastic process with an input process belonging to some exponential type Orlicz space
• Extremes of \(\alpha(\mathbf{t})\)-locally stationary Gaussian random fields
• An Erdös-Révész type law of the iterated logarithm for reflected fractional Brownian motion
• Extremes of vector-valued Gaussian processes with trend
• Extremes of nonstationary Gaussian fluid queues
• Approximation of passage times of \(\gamma\)-reflected processes with FBM input
• On the speed of convergence of Piterbarg constants
• Drawdown and drawup for fractional Brownian motion with trend

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