带干扰的积分高斯过程的破产概率(英文)  

ON THE RUIN PROBABILITY FOR GAUSSIAN INTEGRATED PROCESS DISTURBED BY DIFFUSION

作　　者：何晓霞[1] 胡亦钧[2] 

机构地区：[1]武汉科技大学理学院,湖北武汉430081 [2]武汉大学数学与统计学院,湖北武汉430072

出　　处：《数学杂志》2008年第3期277-281,共5页Journal of Mathematics

基　　金：Supported by the National Natural Science Foundation of China(70273029);the Ministry of Education of China

摘　　要：本文研究了带干扰的积分高斯过程的破产概率.利用经典大偏差的方法,在一定的条件下,得到了相应概率的对数渐近式及测度族的大偏差原理.结果表明在不带干扰的情形下与已有结果一致.We derive the exact asymptotic behavior of the ruin probability for the Gaussian integrated processes disturbed by diffusion.By traditional method of large deviations,we obtain the logarithmic asymptotic for the probabilities and large deviation principle for the corresponding measures.The results show that it is identical to the result when the process is not disturbed by the diffusion.

关 键 词：布朗运动 高斯过程 对数渐进 大偏差原理 

分 类 号：O211.9[理学—概率论与数理统计]