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Fractional Brownian Motion Ruin Model with Random Inspection Time
Published 14 Dec 2023 in math.PR | (2312.09389v1)
Abstract: In this contribution we study the asymptotics of \begin{eqnarray*} P(\exists t\ge 0 : B_H(L(t))-cL(t)>u), \quad u \to \infty, \end{eqnarray*} where $B_H, H\in (0,1)$ is a fractional Brownian motion, $L(t)$ is a non-negative pure jumps L\'{e}vy process independent of $B_H$, $c>0$.
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