Affiliation:
1. Department of Actuarial Science, University of Lausanne, UNIL-Dorigny, Lausanne, Switzerland + St. Petersburg Departament of Steklov Mathematical Institute of Russian Academy of Sciences
Abstract
This paper derives the asymptotic behavior of P{??0 I(BH(s) ?
c1s > q1u, BH(s) ? c2s > q2u) ds > Tu}, u ? ?, where BH is a
fractional Brownian motion, c1, c2, q1, q2 > 0, H ? (0, 1), Tu ? 0 is a
measurable function and I(?) is the indicator function.
Publisher
National Library of Serbia
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