15 citations · 30 across the 10 of their papers we have counts for
4 papers · 1 filter
Simultaneous ruin probability for multivariate gaussian risk model
Krzysztof Bisewski, Krzysztof Debicki, Nikolai Kriukov
Let where , are mutually independent centered Gaussian processes with continuo…
Derivatives of sup-functionals of fractional Brownian motion evaluated at H=1/2
Krzysztof Bisewski, Krzysztof Dębicki, Tomasz Rolski
We consider a family of sup-functionals of (drifted) fractional Brownian motion with Hurst parameter . This family includes, but is not limited to: expected value of the…
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…
The harmonic mean formula for random processes
Krzysztof Bisewski, Enkelejd Hashorva, Georgiy Shevchenko
Motivated by the harmonic mean formula in [1], we investigate the relation between the sojourn time and supremum of a random process and extend the harmoni…