Abstract
We derive the asymptotic behavior of the following ruin probability:
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.
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21 November 2022
A Correction to this paper has been published: https://doi.org/10.1007/s10986-022-09582-9
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Jasnovidov, G. Simultaneous Ruin Probability for Two-Dimensional Fractional Brownian Motion Risk Process over Discrete Grid. Lith Math J 61, 246–260 (2021). https://doi.org/10.1007/s10986-021-09518-9
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DOI: https://doi.org/10.1007/s10986-021-09518-9