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Fundamentalnaya i Prikladnaya Matematika, 2018, Volume 22, Issue 3, Pages 83–90
(Mi fpm1805)
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Ruin probability for a Gaussian process with variance attaining its maximum on discrete sets
S. G. Kobelkov Lomonosov Moscow State University, Moscow, Russia
Abstract:
Ruin probability for a Gaussian locally stationary process is considered in the case where the process variance attains its maximum in a finite number of points. The double sum method is applied to calculate exact asymptotics of the corresponding probability. Also, we consider a family of processes with variance that has a countable set of maximum points containing a limit point.
Citation:
S. G. Kobelkov, “Ruin probability for a Gaussian process with variance attaining its maximum on discrete sets”, Fundam. Prikl. Mat., 22:3 (2018), 83–90; J. Math. Sci., 254:4 (2021), 504–509
Linking options:
https://www.mathnet.ru/eng/fpm1805 https://www.mathnet.ru/eng/fpm/v22/i3/p83
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Statistics & downloads: |
Abstract page: | 200 | Full-text PDF : | 100 | References: | 39 |
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