3 citations · 6 across the 6 of their papers we have counts for
7 papers
Fractional Brownian Motion Ruin Model with Random Inspection Time
Grigori Jasnovidov
In this contribution we study the asymptotics of \begin{eqnarray*} P(\exists t\ge 0 : B_H(L(t))-cL(t)>u), \quad u \to \infty, \end{eqnarray*} where is a fractiona…
On the speed of convergence of Piterbarg constants
Krzysztof Bisewski, Grigori Jasnovidov
In this paper we derive an upper bound for the difference between the continuous and discrete Piterbarg constants. Our result allows us to approximate the classical Piterbarg const…
Extremes of Reflecting Gaussian Processes on Discrete Grid
Krzysztof Dȩbicki, Grigori Jasnovidov
For a centered Gaussian process with stationary increments and a.s. sample paths on a discrete grid , where , we investigate the sta…
On the speed of convergence of discrete Pickands constants to continuous ones
Krzysztof Bisewski, Grigori Jasnovidov
In this manuscript, we address open questions raised by Dieker \& Yakir (2014), who proposed a novel method of estimation of (discrete) Pickands constants using a…
Sojourn Ruin of a Two-Dimensional Fractional Brownian Motion Risk Process
Grigori Jasnovidov
This paper derives the asymptotic behavior of where …
Simultaneous ruin probability for two-dimensional fractional Brownian motion risk process over discrete grid, with supplements
Grigori Jasnovidov
This paper derives the asymptotic behavior of the following ruin probability where …