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On tail probabilities and first passage times for fractional Brownian motion · Study

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ArticleOn tail probabilities and first passage times for fractional Brownian motion

Zbigniew Michna1999

Article1999

On tail probabilities and first passage times for fractional Brownian motion

Zbigniew Michna

36 citations·0/0 files stored·Mathematical Methods of Operations Research

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Probability and Risk Models Probability and Statistical Research Stochastic processes and financial applications

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References

1968Fractional Brownian Motions, Fractional Noises and Applications 1987Applied Probability and Queues 1994A storage model with self-similar input 1995Fast simulation of rare events in queueing and reliability models 1999An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions 1999Extremes of a certain class of Gaussian processes 2000Rare Events Simulation for Heavy-Tailed Distributions 1984Approximations for the probability of ruin within finite time

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2003Simulation of the Asymptotic Constant in Some Fluid Models

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Year1999

Typearticle

Published1999-04-01

VenueMathematical Methods of Operations Research

ISSN-L1432-2994

Languageen

Citations36

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1007/pl00020921

openalex_workW1596404946

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