V. Piterbarg

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20132023

most citedOn the Supremum of gamma-reflected Processes with Fractional Brownian Motion as Input

42 citations · 49 across the 9 of their papers we have counts for

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Showing 2013 · math.PRShow all

2 papers · 2 filters

math.PR2013★ 4 cited

Asymptotic Expansion of Gaussian Chaos via Probabilistic Approach

Enkelejd Hashorva, Dmitry Korshunov, Vladimir I. Piterbarg

For a centered $d$ -dimensional Gaussian random vector $ξ = (ξ_{1}, \dots, ξ_{d})$ and a homogeneous function $h : R^{d} \to R$ we derive asymptotic expansions for the tail of the Gaussian chao…

math.PR2013★ 42 cited

On the Supremum of gamma-reflected Processes with Fractional Brownian Motion as Input

Enkelejd Hashorva, Lanpeng Ji, Vladimir I. Piterbarg

Let $X_{H} (t), t \geq 0$ be a fractional Brownian motion with Hurst index $H\in(0,1}$ and define a gamma-reflected process $W_\Ga(t)=X_H(t)-ct-\gammainf_{s\in[0,t]}\left(X_H(s)-cs \rig…