On the supremum ofγ-reflected processes with fractional Brownian motion as input-Reference-Cited by-同舟云学术

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On the supremum ofγ-reflected processes with fractional Brownian motion as input

Published:2013-11 Issue:11 Volume:123 Page:4111-4127
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Hashorva Enkelejd,Ji Lanpeng,Piterbarg Vladimir I.

Funder

Swiss National Science Foundation Project

Russian Foundation for Basic Research

Marie Curie International Research Staff Exchange Scheme Fellowship

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference23 articles.

1. Random Fields and Geometry;Adler,2007

2. The tax identity for Markov additive risk processes;Albrecher;Methodology and Computing in Applied Probability,2013

3. Ruin Probabilities;Asmussen,2010

4. Conditional limit theorem for regulated fractional Brownian motion;Awad;The Annals of Applied Probability,2009

5. Sojourns and Extremes of Stochastic Processes;Berman,1992

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