Large Deviations of a Storage Process with Fractional Brownian Motion as Input

By V. Piterbarg. 2001

52 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/88c5426f6f8221b4421a9160686b774b806315e4

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In Finance

1. Enkelejd Hashorva
2. Lanpeng Ji

Citations in the corpus

• On the supremum of γ-reflected processes with fractional Brownian motion as input (2013, background): “(19) is established by comparing the last inequality with (22).”