On an application of generalized -sub-Gaussian fractional Browinian motion.

MaRDI QIDQ3606969zbMATH OpenFDO

Authors O. S. Shramko, R. E. Yamnenko

Publication date 28 February 2009

zbMATH Keywords

generalized fractional Brownian motion\(\varphi\)-sub-Gausssian random process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) General theory of stochastic processes (60G07)

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(4)

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• Ruin probability for generalized \(\varphi\)-sub-Gaussian fractional Brownian motion
• Bounds for the distribution of some functionals of processes with \(\varphi\)-sub-Gaussian increments
• On some method on model construction for strictly \(\varphi\)-sub-Gaussian generalized fractional Brownian motion

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