On tail probabilities and first passage times for fractional Brownian motion
Year of publication: |
1999
|
---|---|
Authors: | Michna, Zbigniew |
Published in: |
Mathematical Methods of Operations Research. - 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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