| 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: | Michna Z. |
| Keywords: | Brownian motion |
In the paper we present a method of simulation of ruin probability over infinite horizon for fractional Brownian motion with parameter of self-similarity