3 papers
math.PR2026
Asymptotic Behavior of Path Functionals for Vector-Valued Gaussian Processes at High Levels
Pavel Ievlev, Timofei Shashkov, Svyatoslav Novikov
We study precise asymptotics for high-level exceedance probabilities of path functionals of continuous vector-valued Gaussian processes. The probabilities have the form $$ \mathbb{…
math.PR2025
Upper and lower bounds on TVD and KLD between centered elliptical distributions in high-dimensional setting
Ievlev Pavel, Timofei Shashkov
In this paper, we derive some upper and lower bounds and inequalities for the total variation distance (TVD) and the Kullback-Leibler divergence (KLD), also known as the relative e…
math.PR2024
Multidimensional Brownian risk models with random trend
Goran Popivoda, Timofei Shashkov
Let \(\mathbf B(t)=(B_1(t), \dots,B_d(t))^\top\), \(t\in[0,T]\), \(d\geq 2\) be a \(d\)-dimensional Brownian motion with independent components and let \(\mathbf η=(η_1,\dots,η_d)^…