A remark about the norm of a Brownian bridge
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References listed on IDEAS
- Ng, K.W. & Tang, Q.H. & Yang, H., 2002. "Maxima of Sums of Heavy-Tailed Random Variables," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 32(01), pages 43-55, May.
- Tang, Qihe & Tsitsiashvili, Gurami, 2003. "Precise estimates for the ruin probability in finite horizon in a discrete-time model with heavy-tailed insurance and financial risks," Stochastic Processes and their Applications, Elsevier, vol. 108(2), pages 299-325, December.
More about this item
KeywordsBrownian bridges Bessel bridges Bessel processes with drift;
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