Fractional Brownian Motion Ruin Model with Random Inspection Time
Probability
2023-12-18 v1
Abstract
In this contribution we study the asymptotics of \begin{eqnarray*} P(\exists t\ge 0 : B_H(L(t))-cL(t)>u), \quad u \to \infty, \end{eqnarray*} where is a fractional Brownian motion, is a non-negative pure jumps L\'{e}vy process independent of , .
Cite
@article{arxiv.2312.09389,
title = {Fractional Brownian Motion Ruin Model with Random Inspection Time},
author = {Grigori Jasnovidov},
journal= {arXiv preprint arXiv:2312.09389},
year = {2023}
}