On the \(\gamma\)-reflected processes with fBm input
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Publication:746980
DOI10.1007/s10986-015-9288-6zbMath1325.60054arXiv1402.2628MaRDI QIDQ746980
Lanpeng Ji, Peng Liu, Enkelejd Hashorva
Publication date: 22 October 2015
Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1402.2628
fractional Brownian motion; risk process; ruin probability; ruin time; Pickands constant; Piterbarg constant; \(\gamma\)-reflected process; maximum losses
60G22: Fractional processes, including fractional Brownian motion
60G10: Stationary stochastic processes
60G70: Extreme value theory; extremal stochastic processes
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