Ruin probability for generalized φ-sub-Gaussian fractional Brownian motion

dc.contributor.author	Yamnenko, R.
dc.date.accessioned	2009-11-11T15:30:31Z
dc.date.available	2009-11-11T15:30:31Z
dc.date.issued	2006
dc.identifier.citation	Ruin probability for generalized φ-sub-Gaussian fractional Brownian motion / R. Yamnenko // Theory of Stochastic Processes. — 2006. — Т. 12 (28), № 3-4. — С. 261–275. — Бібліогр.: 9 назв.— англ.	en_US
dc.identifier.issn	0321-3900
dc.identifier.uri	http://dspace.nbuv.gov.ua/handle/123456789/4470
dc.description.abstract	In this paper we investigate the ruin problem for the generalized φ-sub-Gaussian fractional Brownian motion (FBM). Such random process has the same covariation function as FBM but its trajectories belong to the space of φ-sub-Gaussian random variables (i.e. not necessarily Gaussian). For this risk process we obtain estimate of the ruin probability.	en_US
dc.language.iso	en	en_US
dc.publisher	Інститут математики НАН України	en_US
dc.title	Ruin probability for generalized φ-sub-Gaussian fractional Brownian motion	en_US
dc.type	Article	en_US
dc.status	published earlier	en_US