Ruin Probability for Generalized Φ-sub-gaussian Fractional Brownian Motion
نویسنده
چکیده
for various types of risk process X = (X(t), t ≥ 0) and functions f(t). The similar problem of finding the buffer overflow probability appears in the queuing theory for different communication network models. The tasks of such type were solved for many types of processes, including Gaussian ones and aforementioned FBM (see, for example, Norros [1], Michna [2], Baldi and Pacchiarotti [3], etc.). But since in many cases real processes are Gaussian only asymptotically or not Gaussian at all, there arises a problem of introduction of more general class of random processes than Gaussian one. From the such viewpoint the classes of φ-sub-Gaussian and strictly φ-sub-Gaussian random processes are of significant interest as
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