2 citations · 3 across the 4 of their papers we have counts for
4 papers
Extremes of Gaussian non-stationary processes and maximal deviation of projection density estimates
Valentin Konakov, Vladimir Panov, Vladimir Piterbarg
In this paper, we consider the distribution of the supremum of non-stationary Gaussian processes, and present a new theoretical result on the asymptotic behaviour of this distribut…
On maximum of Gaussian random field having unique maximum point of its variance
Sergey G. Kobelkov, Vladimir I. Piterbarg
Gaussian random fields on Euclidean spaces whose variances reach their maximum values at unique points are considered. Exact asymptotic behaviors of probabilities of large absolute…
On maximum of Gaussian process with unique maximum point of its variance
E. Hashorva, S. Kobelkov, V. I. Piterbarg
Gaussian random processes which variances reach theirs maximum values at unique points are considered. Exact asymptotic behaviors of probabilities of large absolute maximums of the…
Stochastic representation and pathwise properties of fractional Cox-Ingersoll-Ross process
Yuliya Mishura, Vladimir I. Piterbarg, Kostiantyn Ralchenko +1
We consider the fractional Cox-Ingersoll-Ross process satisfying the stochastic differential equation (SDE) driven by a fractional Brownian…