On the ruin probability for physical fractional Brownian motion
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Cites work
- Extremes and related properties of random sequences and processes
- Extremes of a certain class of Gaussian processes
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- scientific article; zbMATH DE number 846847 (Why is no real title available?)
- scientific article; zbMATH DE number 3359478 (Why is no real title available?)
- Ruin probability for Gaussian integrated processes.
- Upcrossing Probabilities for Stationary Gaussian Processes
Cited in
(42)- Extremes of threshold-dependent Gaussian processes
- Extremes of vector-valued Gaussian processes with trend
- Extremes of Gaussian random fields with regularly varying dependence structure
- An Erdös-Révész type law of the iterated logarithm for reflected fractional Brownian motion
- On tail probabilities and first passage times for fractional Brownian motion
- Simultaneous ruin probability for two-dimensional fractional Brownian motion risk process over discrete grid
- Sojourn times of Gaussian processes with trend
- Extremes of a type of locally stationary Gaussian random fields with applications to Shepp statistics
- Extremes of a class of non-stationary Gaussian processes and maximal deviation of projection density estimates
- Drawdown and drawup for fractional Brownian motion with trend
- The time of ultimate recovery in Gaussian risk model
- Stochastic differential equations driven by fractional Brownian motion and Poisson point process
- Extremes of Gaussian processes over an infinite horizon
- Extremes of \(\alpha(t)\)-locally stationary Gaussian processes with non-constant variances
- Ruin probability at a given time for a model with liabilities of the fractional Brownian motion type: A partial differential equation approach
- Extremes of \(\alpha(\mathbf{t})\)-locally stationary Gaussian random fields
- Ruin probability of a special risk model
- Open problems in Gaussian fluid queueing theory
- Gaussian risk models with financial constraints
- Extremes of -reflected Gaussian processes with stationary increments
- Ruin problem of a two-dimensional fractional Brownian motion risk process
- Limit laws on extremes of nonhomogeneous Gaussian random fields
- On the infimum attained by the reflected fractional Brownian motion
- Bounds for expected supremum of fractional Brownian motion with drift
- Bounds for the expected supremum of some non-stationary Gaussian processes
- Extremes of nonstationary Gaussian fluid queues
- Uniform tail approximation of homogenous functionals of Gaussian fields
- Ruin probability for generalized -sub-Gaussian fractional Brownian motion
- Ruin Probability for the Integrated Gaussian Process with Force of Interest
- scientific article; zbMATH DE number 7662453 (Why is no real title available?)
- Simultaneous ruin probability for multivariate Gaussian risk model
- Sojourns of fractional Brownian motion queues: transient asymptotics
- Long strange segments, ruin probabilities and the effect of memory on moving average processes
- Extremes of reflecting Gaussian processes on discrete grid
- On average losses in the ruin problem with fractional Brownian motion as input
- Probability of entering an orthant by correlated fractional Brownian motion with drift: exact asymptotics
- Ruin theory problems in simple SDE models with large deviation asymptotics
- Fractional Brownian motion ruin model with random inspection time
- A stochastic framework for ruin probabilities under time-changed Brownian motion
- Random rewards, fractional Brownian local times and stable self-similar processes
- Asymptotics of supremum distribution of \(\alpha (t)\)-locally stationary Gaussian processes
- An extension of a logarithmic form of Cramér's ruin theorem to some FARIMA and related processes
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