On tail probabilities and first passage times for fractional Brownian motion
Zbigniew Michna
Department of Mathematical Statistics,
Lund Institute of Technology,
Lund University,
1998
ISSN 02811944
ISRN LUNFD6/NFMS3197SE

Abstract:

In the paper we present a method of simulation of ruin probability over infinite
horizon for fractional Brownian motion with parameter of selfsimilarity
H > ½. We derive some theoretical results which show how fast
the method works. As an application of our method we compute the Picands
constant for fractional Brownian motion.


Key words:

fractional Brownian motion, simulation of ruin probability, Monte Carlo method,
Picands constant