Finite time asymptotics of fluid and ruin models: multiplexed fractional Brownian motions case
Krzysztof Dębicki, Grzegorz Sikora (2011)
Applicationes Mathematicae
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Motivated by applications in queueing fluid models and ruin theory, we analyze the asymptotics of , where , i = 1,...,n, are independent fractional Brownian motions with Hurst parameters and λ₁,...,λₙ > 0. The asymptotics takes one of three different qualitative forms, depending on the value of .