Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals

Détails

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Etat: Public
Version: de l'auteur⸱e
ID Serval
serval:BIB_2BF281D58DFD
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals
Périodique
Extremes
Auteur⸱e⸱s
Dębicki  K., Hashorva  E., Ji  L.
ISSN
1386-1999 (Print)
1572-915X (Electronic)
Statut éditorial
Publié
Date de publication
09/2014
Peer-reviewed
Oui
Volume
17
Numéro
3
Pages
411-429
Langue
anglais
Résumé
Let {X(t),t a parts per thousand yen 0} be a centered Gaussian process and let gamma be a non-negative constant. In this paper we study the asymptotics of as , with an independent of X non-negative random variable. As an application, we derive the asymptotics of finite-time ruin probability of time-changed fractional Brownian motion risk processes.
Mots-clé
Tail asymptotics, Large deviations, Weibullian tails, Supremum over random intervals, Gaussian process, Fractional Brownian motion, Fractional laplace motion, Gamma process, Ruin probability
Web of science
Open Access
Oui
Création de la notice
17/02/2014 21:42
Dernière modification de la notice
21/08/2019 7:08
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