Search

Your search keyword '"Michna, Zbigniew"' showing total 2 results
Start Over Author "Michna, Zbigniew" Journal acta physica polonica b
2 results on '"Michna, Zbigniew"'

1. ASYMPTOTIC BEHAVIOR OF ANOMALOUS DIFFUSIONS DRIVEN BY α-STABLE NOISE.

Author

Michna, Zbigniew

Subjects
*MATHEMATICAL decomposition, *NOISE, *LEVY processes, *STOCHASTIC integrals, *WIENER processes
Abstract

In this paper we discuss decomposition principle for a-stable Lévy pro- cesses. We investigate asymptotic properties of components and stochastic integrals driven by such processes providing an important class of anoma- lous diffusions. We consider two case studies with integrands being fractional Brownian motion and gamma process. [ABSTRACT FROM AUTHOR]

Published
2008

2. ASYMPTOTIC BEHAVIOR OF THE FINITE TIME RUIN PROBABILITY OF A GAMMA LÉVY PROCESS.

Author

Michna, Zbigniew and Weron, Aleksander

Subjects
*LEVY processes, *RANDOM walks, *APPROXIMATION theory, *PROBABILITY theory, *ASYMPTOTIC distribution
Abstract

In this paper we consider a jump-diffusion type approximation of the classical risk process by a gamma Lévy process. We derive here the asymptotic behavior (lower and upper bounds) of the finite time ruin probability for any gamma Lévy process. [ABSTRACT FROM AUTHOR]

Published
2007

Catalog

Books, media, physical & digital resources
See catalog results