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Random process from the class $V (\varphi, \psi)$
exceeding a curve
Rostyslav Yamnenko, Olga Vasylyk Department of Probability Theory and Mathematical Statistics,
Kyiv National Taras Shevchenko University, Kyiv, Ukraine
Abstract:
Random processes from the class $V (\varphi, \psi)$ which is more general than
the class of $\psi$-sub-Gaussian random process. The upper estimate of
the probability that a random process from the class $V (\varphi, \psi)$ exceeds
some function is obtained. The results are applied to generalized
process of fractional Brownian motion.
Keywords:
Sub-Gaussian process, generalized fractional Brownian motion, metric entropy, buffer overflow probability, ruin probability.
Citation:
Rostyslav Yamnenko, Olga Vasylyk, “Random process from the class $V (\varphi, \psi)$
exceeding a curve”, Theory Stoch. Process., 13(29):4 (2007), 219–232
Linking options:
https://www.mathnet.ru/eng/thsp248 https://www.mathnet.ru/eng/thsp/v13/i4/p219
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Statistics & downloads: |
Abstract page: | 52 | Full-text PDF : | 31 | References: | 9 |
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