Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals
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K. Dębicki et al., « Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals », Serveur académique Lausannois, ID : 10.1007/s10687-014-0186-9
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Let {X(t),t a parts per thousand yen 0} be a centered Gaussian process and let gamma be a non-negative constant. In this paper we study the asymptotics of as , with an independent of X non-negative random variable. As an application, we derive the asymptotics of finite-time ruin probability of time-changed fractional Brownian motion risk processes.