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Ruin Probability for a Gaussian Process with Variance Attaining its Maximum on Discrete Sets

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Abstract

Ruin probability for a Gaussian locally stationary process is considered in the case where the process variance attains its maximum in a finite number of points. The double sum method is applied to calculate exact asymptotics of the corresponding probability. Also, we consider a family of processes with variance that has a countable set of maximum points containing a limit point.

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References

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Authors and Affiliations

  1. Lomonosov Moscow State University, Moscow, Russia

    S. G. Kobelkov

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  1. S. G. Kobelkov
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Correspondence to S. G. Kobelkov.

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Translated from Fundamentalnaya i Prikladnaya Matematika, Vol. 22, No. 3, pp. 83–90, 2018.

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Kobelkov, S.G. Ruin Probability for a Gaussian Process with Variance Attaining its Maximum on Discrete Sets. J Math Sci 254, 504–509 (2021). https://doi.org/10.1007/s10958-021-05321-6

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  • DOI: https://doi.org/10.1007/s10958-021-05321-6

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