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~subject:"simulation of ruin probability"
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simulation of ruin probability
Pickands constant
3
Fractional Brownian motion
2
Monte Carlo method
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first passage time
2
Berman sojourn limit theorem
1
Cholesky factorization
1
Conjunction
1
Extremes
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Generalized Pickands constant
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Order statistics processes
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Stationary Gaussian processes
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change of measure
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fGp algorithm
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fractional Brownian motion
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Michna, Zbigniew
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Computational Statistics
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Mathematical Methods of Operations Research
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On tail probabilities and first passage times for fractional Brownian motion
Michna, Zbigniew
- In:
Computational Statistics
49
(
1999
)
2
,
pp. 335-354
application of our method we numerically compute the
Pickands
constant
. Copyright Springer-Verlag Berlin Heidelberg 1999 …
Persistent link: https://www.econbiz.de/10010759583
Saved in:
2
On tail probabilities and first passage times for fractional Brownian motion
Michna, Zbigniew
- In:
Mathematical Methods of Operations Research
49
(
1999
)
2
,
pp. 335-354
application of our method we numerically compute the
Pickands
constant
. Copyright Springer-Verlag Berlin Heidelberg 1999 …
Persistent link: https://www.econbiz.de/10010999997
Saved in:
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