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Finite time asymptotics of fluid and ruin models: multiplexed fractional Brownian motions case

Krzysztof Dębicki, Grzegorz Sikora (2011)

Applicationes Mathematicae

Motivated by applications in queueing fluid models and ruin theory, we analyze the asymptotics of ( s u p t [ 0 , T ] ( i = 1 n λ i B H i ( t ) - c t ) > u ) , where B H i ( t ) : t 0 , i = 1,...,n, are independent fractional Brownian motions with Hurst parameters H i ( 0 , 1 ] and λ₁,...,λₙ > 0. The asymptotics takes one of three different qualitative forms, depending on the value of m i n i = 1 , . . . , n H i .

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