Finite time asymptotics of fluid and ruin models: multiplexed fractional Brownian motions case
DOI10.4064/AM38-1-8zbMATH Open1216.60031OpenAlexW2316396907MaRDI QIDQ3079980FDOQ3079980
Authors: Krzysztof Dȩbicki, Grzegorz Sikora 
Publication date: 4 March 2011
Published in: Applicationes Mathematicae (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4064/am38-1-8
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Cited In (5)
- Extremes of standard multifractional Brownian motion
- Maximal Inequalities for Fractional Brownian Motion: An Overview
- Simultaneous ruin probability for two-dimensional fractional Brownian motion risk process over discrete grid
- Probability of entering an orthant by correlated fractional Brownian motion with drift: exact asymptotics
- Piterbarg theorems for chi-processes with trend
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