On first and last ruin times of Gaussian processes

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• 作者：J&#xfc ; rg H&#xfc ; sler ; Yueming Zhang
• 关键词：Weighted scale-free networks ; Routing strategy ; Traffic capacity
• 刊名：Statistics and Probability Letters
• 出版年：2008
• 期刊代码：56_01677152
• 类别：mt
• 出版时间：1 August 2008
• 卷：78
• 期：10
• 页码：1230-1235
• 文件大小：239 K

摘要

Considering centered Gaussian processes X(t) with a trend −ct^β and variance V²(t), we are interested in the asymptotic distributions of the first ruin time and the last ruin time as well as their joint asymptotic distribution as the initial capital u→∞. Our results show that the conditional distribution of the last ruin time, conditioned on ruin occurring, is a normal distribution and the conditional joint limit distribution is a difference of two standard normal distributions.