On tail probabilities and first passage times for fractional Brownian motion |
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Authors: | Zbigniew Michna |
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Institution: | Department of Mathematical Statistics, Lund University, Box 118, SE-221 00 Lund, Sweden (e-mail: michna@maths.lth.se), SE
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Abstract: | In the paper we present a method of simulation of ruin probability over infinite horizon for fractional Brownian motion with parameter of self-similarity H >½. We derive some theoretical results which show how fast the method works. As an application of our method we numerically compute the Pickands constant. |
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