Extremes of a certain class of Gaussian processes

Citations

Cited by:

1. Hüsler, Jürg & Piterbarg, Vladimir, 2004. "Limit theorem for maximum of the storage process with fractional Brownian motion as input," Stochastic Processes and their Applications, Elsevier, vol. 114(2), pages 231-250, December.
2. Bisewski, Krzysztof & Dȩbicki, Krzysztof & Kriukov, Nikolai, 2023. "Simultaneous ruin probability for multivariate Gaussian risk model," Stochastic Processes and their Applications, Elsevier, vol. 160(C), pages 386-408.
3. Ji, Lanpeng & Peng, Xiaofan, 2023. "Extreme value theory for a sequence of suprema of a class of Gaussian processes with trend," Stochastic Processes and their Applications, Elsevier, vol. 158(C), pages 418-452.
4. De[combining cedilla]bicki, Krzysztof & Kisowski, Pawel, 2008. "Asymptotics of supremum distribution of [alpha](t)-locally stationary Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 118(11), pages 2022-2037, November.
5. Pingjin Deng, 2016. "The joint distributions of running maximum of a Slepian processes," Papers 1609.04529, arXiv.org.
6. Hüsler, Jürg & Zhang, Yueming, 2008. "On first and last ruin times of Gaussian processes," Statistics & Probability Letters, Elsevier, vol. 78(10), pages 1230-1235, August.
7. Cheng, Dan, 2016. "Excursion probability of certain non-centered smooth Gaussian random fields," Stochastic Processes and their Applications, Elsevier, vol. 126(3), pages 883-905.
8. Bai, Long, 2020. "Extremes of standard multifractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 159(C).
9. Liu, Peng & Ji, Lanpeng, 2017. "Extremes of locally stationary chi-square processes with trend," Stochastic Processes and their Applications, Elsevier, vol. 127(2), pages 497-525.
10. Bai, Long & Luo, Li, 2017. "Parisian ruin of the Brownian motion risk model with constant force of interest," Statistics & Probability Letters, Elsevier, vol. 120(C), pages 34-44.
11. Pingjin Deng, 2018. "The Joint Distribution of Running Maximum of a Slepian Process," Methodology and Computing in Applied Probability, Springer, vol. 20(4), pages 1123-1135, December.
12. Krzysztof Dȩbicki & Zbigniew Michna & Xiaofan Peng, 2019. "Approximation of Sojourn Times of Gaussian Processes," Methodology and Computing in Applied Probability, Springer, vol. 21(4), pages 1183-1213, December.
13. Debicki, K. & Kosinski, K.M. & Mandjes, M. & Rolski, T., 2010. "Extremes of multidimensional Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 120(12), pages 2289-2301, December.
14. Caglar, Mine & Vardar-Acar, Ceren, 2013. "Distribution of maximum loss of fractional Brownian motion with drift," Statistics & Probability Letters, Elsevier, vol. 83(12), pages 2729-2734.
15. Popivoda, Goran & Stamatović, Siniša, 2019. "On probability of high extremes of Gaussian fields with a smooth random trend," Statistics & Probability Letters, Elsevier, vol. 147(C), pages 29-35.
16. Hüsler, Jürg & Piterbarg, Vladimir, 2008. "A limit theorem for the time of ruin in a Gaussian ruin problem," Stochastic Processes and their Applications, Elsevier, vol. 118(11), pages 2014-2021, November.
17. Hüsler, J. & Piterbarg, V., 2004. "On the ruin probability for physical fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 113(2), pages 315-332, October.
18. Enkelejd Hashorva & Jürg Hüsler, 2000. "Extremes of Gaussian Processes with Maximal Variance near the Boundary Points," Methodology and Computing in Applied Probability, Springer, vol. 2(3), pages 255-269, September.
19. Dieker, A.B., 2005. "Extremes of Gaussian processes over an infinite horizon," Stochastic Processes and their Applications, Elsevier, vol. 115(2), pages 207-248, February.
20. Blanchet, Jose & Lam, Henry, 2013. "A heavy traffic approach to modeling large life insurance portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 237-251.
21. Debicki, Krzysztof, 2002. "Ruin probability for Gaussian integrated processes," Stochastic Processes and their Applications, Elsevier, vol. 98(1), pages 151-174, March.
22. Krzysztof Dȩbicki & Peng Liu & Zbigniew Michna, 2020. "Sojourn Times of Gaussian Processes with Trend," Journal of Theoretical Probability, Springer, vol. 33(4), pages 2119-2166, December.
23. Krzysztof Dȩbicki & Enkelejd Hashorva & Michel Mandjes, 2023. "Editorial introduction: special issue on Gaussian queues," Queueing Systems: Theory and Applications, Springer, vol. 105(1), pages 1-4, October.
24. Krzysztof Bisewski & Krzysztof Dȩbicki & Tomasz Rolski, 2022. "Derivative of the expected supremum of fractional Brownian motion at $$H=1$$ H = 1," Queueing Systems: Theory and Applications, Springer, vol. 102(1), pages 53-68, October.
25. Long Bai & Krzysztof Dȩbicki & Enkelejd Hashorva & Li Luo, 2018. "On Generalised Piterbarg Constants," Methodology and Computing in Applied Probability, Springer, vol. 20(1), pages 137-164, March.
26. Sumith Reddy Anugu & Guodong Pang, 2023. "Large deviations and long-time behavior of stochastic fluid queues with generalized fractional Brownian motion input," Queueing Systems: Theory and Applications, Springer, vol. 105(1), pages 47-98, October.
27. Krzysztof Dȩbicki, 2022. "Exact asymptotics of Gaussian-driven tandem queues," Queueing Systems: Theory and Applications, Springer, vol. 100(3), pages 285-287, April.