On tail probabilities and first passage times for fractional Brownian motion

In the paper we present a method of simulation of ruin probability over infinite horizon for fractional Brownian motion with parameter of self-similarity H >½. We derive some theoretical results which show how fast the method works. As an application of our method we numerically compute the Pickands constant. Copyright Springer-Verlag Berlin Heidelberg 1999

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Year of publication:	1999
Authors:	Michna, Zbigniew
Published in:	Computational Statistics. - Springer. - Vol. 49.1999, 2, p. 335-354
Publisher:	Springer
Subject:	Fractional Brownian motion \| first passage time \| simulation of ruin probability \| Monte Carlo method \| Pickands constant

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010759583