On tail probabilities and first passage times for fractional Brownian motion

On tail probabilities and first passage times for fractional Brownian motion

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Article ID: iaor20001871
Country: Germany
Volume: 49
Issue: 2
Start Page Number: 335
End Page Number: 354
Publication Date: Jan 1999
Journal: Mathematical Methods of Operations Research (Heidelberg)
Authors:
Keywords: Brownian motion
Abstract:

In the paper we present a method of simulation of ruin probability over infinite horizon for fractional Brownian motion with parameter of self-similarity H > ½. We derive some theoretical results which show how fast the method works. As an application of our method we numerically compute the Pickands constant.

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