Simultaneous ruin probability for two-dimensional fractional Brownian motion risk process over discrete grid, with supplements (2002.04928v1)

Abstract: This paper derives the asymptotic behavior of the following ruin probability $$P{\exists t \in G(\delta):B_H(t)-c_1t>q_1u,B_H(t)-c_2t>q_2u}, \ \ \ u \rightarrow \infty,$$ where $B_H$ is a standard fractional Brownian motion, $c_1,q_1,c_2,q_2>0$ and $G(\delta)$ denotes a regular grid ${0,\delta, 2\delta,...}$ for some $\delta>0$. The approximation depends on $H$, $\delta$ (only when $H\leq 1/2$) and the relations between parameters $c_1,q_1,c_2,q_2$.