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On tail probabilities and first passage times for fractional Brownian motion
12 references·1 citing·39 second hop
On tail probabilities and first passage times for fractional Brownian motion (1999)On tail probabilities and first passage t…Rare Events Simulation for Heavy-Tailed Distributions (2000)Rare Events Simulation for He…Simulation of fractional Brownian motion with conditionalized random midpoint displacement (1999)Simulation of fractional Brow…Extremes of a certain class of Gaussian processes (1999)Extremes of a certain class o…An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions (1999)An Elementary Approach to a G…Self‐similar processes in collective risk theory (1998)Self‐similar processes in col…Fast simulation of rare events in queueing and reliability models (1995)Fast simulation of rare event…A Gaussian fluid model (1995)A Gaussian fluid modelA storage model with self-similar input (1994)A storage model with self-sim…Applied Probability and Queues (1987)Applied Probability and QueuesApproximations for the probability of ruin within finite time (1984)Approximations for the probab…Stochastic and Multiple Wiener Integrals for Gaussian Processes (1978)Stochastic and Multiple Wiene…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …Simulation of the Asymptotic Constant in Some Fluid Models (2003)Simulation of the Asymptotic …A Practical Guide to Heavy Tails: Statistical Techniques and Applications (1999)Simulating heavy tailed processes using delayed hazard rate twisting (2002)Efficient rare-event simulation for the maximum of heavy-tailed random walks (2008)State-dependent importance sampling for rare-event simulation: An overview and recent advances (2011)The Typical Spectral Shape of an Economic Variable (1966)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Empirical properties of asset returns: stylized facts and statistical issues (2001)Continuous Martingales and Brownian Motion (1999)Statistical Analysis of the Fractional Ornstein–Uhlenbeck Type Process (2002)Limit Theorems for Stochastic Processes (2003)Stochastic integration with respect to fractional brownian motion (2003)Long Range Dependence (2004)Queues and Inventories. (1966)QUEUES AND INVENTORIES (1967)The Single Server Queue (1983)Computational methods in risk theory: A matrix-algorithmic approach (1992)Ruin theory with compounding assets — a survey (1998)Risk processes analyzed as fluid queues (2004)Stability, queue length, and delay of deterministic and stochastic queueing networks (1994)Proceedings of the 2002 Winter Simulation Conference (2002)Importance Sampling for Portfolio Credit Risk (2005)Rare Event Simulation using Monte Carlo Methods (2009)Introduction to Stochastic Processes (2014)Wavelet analysis of long-range-dependent traffic (1998)A multifractal wavelet model with application to network traffic (1999)A wavelet-based joint estimator of the parameters of long-range dependence (1999)Chaos decomposition of multiple fractional integrals and applications (1999)Multiple fractional integrals (1999)Stochastic integration for tempered fractional Brownian motion (2014)Ruin probability for Gaussian integrated processes (2002)Extremes of Gaussian processes over an infinite horizon (2004)On the ruin probability for physical fractional Brownian motion (2004)Stability properties of constrained queueing systems and scheduling policies for maximum throughput in multihop radio networks (1992)Dynamic server allocation to parallel queues with randomly varying connectivity (1993)Asset Pricing with Heterogeneous Consumers (1996)Approximating some Volterra type stochastic integrals with applications to parameter estimation (2003)ON SPECTRAL SIMULATION OF FRACTIONAL BROWNIAN MOTION (2003)GPS schedulers and Gaussian traffic (2005)
this work references cited by second hop

References

  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 1987Applied Probability and Queues2,704 cited
  • 1994A storage model with self-similar input848 cited
  • 1995Fast simulation of rare events in queueing and reliability models546 cited
  • 1999An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions401 cited
  • 1999Extremes of a certain class of Gaussian processes146 cited
  • 2000Rare Events Simulation for Heavy-Tailed Distributions133 cited
  • 1984Approximations for the probability of ruin within finite time95 cited
  • 1999Simulation of fractional Brownian motion with conditionalized random midpoint displacement91 cited
  • 1978Stochastic and Multiple Wiener Integrals for Gaussian Processes81 cited
  • 1998Self‐similar processes in collective risk theory41 cited
  • 1995A Gaussian fluid model20 cited

Cited by

  • 2003Simulation of the Asymptotic Constant in Some Fluid Models36 cited

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