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Teoriya Veroyatnostei i ee Primeneniya, 2004, Volume 49, Issue 1, Pages 171–178
DOI: https://doi.org/10.4213/tvp243 (Mi tvp243) 		 
This article is cited in 4 scientific papers (total in 4 papers)

Short Communications

The ruin problem for the stationary Gaussian process

S. G. Kobel'kov

M. V. Lomonosov Moscow State University
Full-text PDF (777 kB) Citations (4)
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DOI: https://doi.org/10.4213/tvp243
Abstract: The exact asymptotic of the ruin probability is found in the case when the profit rate has the form of the Gaussian stationary process.
Keywords: Gaussian process, Rice method, ruin probability.
Received: 15.10.2003
English version:
Theory of Probability and its Applications, 2005, Volume 49, Issue 1, Pages 155–163
DOI: https://doi.org/10.1137/S0040585X97980932
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: S. G. Kobel'kov, “The ruin problem for the stationary Gaussian process”, Teor. Veroyatnost. i Primenen., 49:1 (2004), 171–178; Theory Probab. Appl., 49:1 (2005), 155–163
Citation in format AMSBIB
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  • https://www.mathnet.ru/eng/tvp/v49/i1/p171
    • This publication is cited in the following 4 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Теория вероятностей и ее применения Theory of Probability and its Applications
     
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