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

zbMATH Open1164.60348MaRDI QIDQ3606969FDOQ3606969

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

Publication date: 28 February 2009

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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)

Cited In (4)

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

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