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Simultaneous Ruin Probability for Two-Dimensional Fractional Brownian Motion Risk Process over Discrete Grid
Lithuanian Mathematical Journal ( IF 0.5 ) Pub Date : 2021-04-28 , DOI: 10.1007/s10986-021-09518-9 Grigori Jasnovidov
中文翻译:
离散网格上二维分数布朗运动风险过程的同时破产概率
更新日期:2021-04-29
Lithuanian Mathematical Journal ( IF 0.5 ) Pub Date : 2021-04-28 , DOI: 10.1007/s10986-021-09518-9 Grigori Jasnovidov
We derive the asymptotic behavior of the following ruin probability:
$$ \mathrm{P}\left\{\exists t\in G\left(\delta \right):{B}_H(t)-{c}_1t>{q}_1u,{B}_H(t)-{c}_2t>{q}_2u\right\},\kern0.72em H\in \left(0,1\right),u\to \infty, $$where BH is a standard fractional Brownian motion, c1, q1, c2, q2 > 0, and G(δ) denotes the regular grid {0, δ, 2δ, . . . } for some δ > 0. The approximation depends on H, δ (only when H ≤ 1/2) and the relations between parameters c1, q1, c2, q2.
中文翻译:
离散网格上二维分数布朗运动风险过程的同时破产概率
我们得出以下破坏概率的渐近行为:
$$ \ mathrm {P} \ left \ {\ t t in in G \ left(\ delta \ right):{B} _H(t)-{c} _1t> {q} _1u,{B} _H(t )-{c} _2t> {q} _2u \ right \},\ kern0.72em H \ in \ left(0,1 \ right),u \ to \ infty,$$其中乙ħ是标准分数布朗运动,Ç 1 ,Q 1 ,C 2 ,Q 2 > 0,和G ^(δ)表示规则网格{0 ,δ, 2 δ,。。。}对于一些δ> 0。近似取决于ħ,δ(仅当ħ ≤1/2)和参数之间的关系Ç 1,q 1,c ^ 2,q 2。