Geodesic
Sojourns of a two-dimensional fractional Bronwian motion risk process
Filomat, Tome 36 (2022) no. 14, p. 4675

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DOI

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.
DOI : 10.2298/FIL2214675J
Classification : 60G15, 60G70
Keywords: fractional Brownian motion, simultaneous ruin probability, two-dimensional risk processes, sojourn 
Grigori Jasnovidov. Sojourns of a two-dimensional fractional Bronwian motion risk process. Filomat, Tome 36 (2022) no. 14, p. 4675 . doi: 10.2298/FIL2214675J
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     author = {Grigori Jasnovidov},
     title = {Sojourns of a two-dimensional fractional {Bronwian} motion risk process},
     journal = {Filomat},
     pages = {4675 },
     year = {2022},
     volume = {36},
     number = {14},
     doi = {10.2298/FIL2214675J},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.2298/FIL2214675J/}
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