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JOURNALS // Theory of Stochastic Processes // Archive

Theory Stoch. Process., 2007 Volume 13(29), Issue 4, Pages 219–232 (Mi thsp248)

Random process from the class $V (\varphi, \psi)$ exceeding a curve

Rostyslav Yamnenko, Olga Vasylyk

Department of Probability Theory and Mathematical Statistics, Kyiv National Taras Shevchenko University, Kyiv, Ukraine

Abstract: Random processes from the class $V (\varphi, \psi)$ which is more general than the class of $\psi$-sub-Gaussian random process. The upper estimate of the probability that a random process from the class $V (\varphi, \psi)$ exceeds some function is obtained. The results are applied to generalized process of fractional Brownian motion.

Keywords: Sub-Gaussian process, generalized fractional Brownian motion, metric entropy, buffer overflow probability, ruin probability.

MSC: 60G20, 60G18, 60K25

Language: English



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