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Conditional limit theorems for regulated fractional Brownian motion
16 references·0 citing·38 second hop
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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1994A storage model with self-similar input848 cited
  • 2000Stochastic Calculus for Fractional Brownian Motion I. Theory571 cited
  • 1995Large deviations and overflow probabilities for the general single-server queue, with applications431 cited
  • 1999An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions401 cited
  • 2002Is Network Traffic Appriximated by Stable Lévy Motion or Fractional Brownian Motion?270 cited
  • 1996On the prediction of fractional Brownian motion205 cited
  • 1998Heavy Tails and Long Range Dependence in On/Off Processes and Associated Fluid Models176 cited
  • 1999Extremes of a certain class of Gaussian processes146 cited
  • 1996Large deviations results for subexponential tails, with applications to insurance risk117 cited
  • 2004Extremes of Gaussian processes over an infinite horizon86 cited
  • 1999Large buffer asymptotics for the queue with fractional Brownian input50 cited
  • 1996Fractional Brownian Approximations of Queueing Networks37 cited
  • 2013Characterizing Heavy-Tailed Distributions Induced by Retransmissions34 cited
  • 2000On the maximum workload of a queue fed by fractional Brownian motion

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32 cited
  • 2007A limit theorem for the time of ruin in a Gaussian ruin problem31 cited
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