A Bene S Formula for the Fractional Brownian Storage

@inproceedings{Virtamo2007ABS,
  title={A Bene S Formula for the Fractional Brownian Storage},
  author={Jorma T. Virtamo},
  year={2007}
}
The applicability of the Bene s approach to the \fractional Brownian storage", i.e. a storage model where the net input process is a fractional Brownian motion (FBM) with drift, is studied. This requires the analysis of the last exit time probability density of a drifted FBM that, in turn, motivates the proof of a general \localization theorem" for FBM. The… CONTINUE READING