Finite time asymptotics of fluid and ruin models: multiplexed fractional Brownian motions case

DOI10.4064/AM38-1-8MaRDI QIDQ3079980zbMATHOpenAlexFDO

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

zbMATH Keywords

Gaussian processfractional Brownian motionsupremumexact asymptotics

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Fractional processes, including fractional Brownian motion (60G22) Performance evaluation, queueing, and scheduling in the context of computer systems (68M20)

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Cited in

(5)

• Simultaneous ruin probability for two-dimensional fractional Brownian motion risk process over discrete grid
• Piterbarg theorems for chi-processes with trend
• Extremes of standard multifractional Brownian motion
• Maximal Inequalities for Fractional Brownian Motion: An Overview
• Probability of entering an orthant by correlated fractional Brownian motion with drift: exact asymptotics

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