Approximation of Passage Times of γ-Reflected Processes with FBM Input
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Publication:2923431
DOI10.1239/jap/1409932669zbMath1303.60027arXiv1310.3114OpenAlexW2014759233MaRDI QIDQ2923431
Publication date: 15 October 2014
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1310.3114
fractional Brownian motionGaussian approximationPickands' constantPiterbarg constantpassage timeworkload process{\(\gamma\)}-reflected processrisk process with tax
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