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Fundamentalnaya i Prikladnaya Matematika, 2018, Volume 22, Issue 3, Pages 83–90 (Mi fpm1805)  

Ruin probability for a Gaussian process with variance attaining its maximum on discrete sets

S. G. Kobelkov

Lomonosov Moscow State University, Moscow, Russia
References:
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.
English version:
Journal of Mathematical Sciences (New York), 2021, Volume 254, Issue 4, Pages 504–509
DOI: https://doi.org/10.1007/s10958-021-05321-6
Document Type: Article
UDC: 519.218
Language: Russian
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
Citation in format AMSBIB
\Bibitem{Kob18}
\by S.~G.~Kobelkov
\paper Ruin probability for a~Gaussian process with variance attaining its maximum on discrete sets
\jour Fundam. Prikl. Mat.
\yr 2018
\vol 22
\issue 3
\pages 83--90
\mathnet{http://mi.mathnet.ru/fpm1805}
\transl
\jour J. Math. Sci.
\yr 2021
\vol 254
\issue 4
\pages 504--509
\crossref{https://doi.org/10.1007/s10958-021-05321-6}
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    Фундаментальная и прикладная математика
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