Ruin probability for a Gaussian process with variance attaining its maximum on discrete sets
S. G. Kobelkov
Lomonosov Moscow State University
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.
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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
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\paper Ruin probability for a~Gaussian process with variance attaining its maximum on discrete sets
\jour Fundam. Prikl. Mat.
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