Svyatoslav Novikov

collaborators

6 papers

math.PR2026

Branch-stationary max-stable fields on rooted trees

Enkelejd Hashorva, Svyatoslav Novikov

In this contribution we study max-stable random fields on the rooted tree under shifts to descendant subtrees. Branch-Brown--Resnick stationarity is characterised through homogeneo…

math.PR2026

High Minima of Gaussian Processes: Overshoots and Minimizer Locations

Enkelejd Hashorva, Svyatoslav Novikov

Let $X (t)$ , $t \in K$ , be a centred Gaussian process with continuous sample paths on a compact metric space $K$ , and let $M = min_{t \in K} X (t)$ . Let $I ¨ _{*}^{2}$ denote the minimum covar…

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.PR2026

Parisian ruin of locally self-similar Gaussian processes

Svyatoslav M. Novikov

We derive exact tail asymptotics of the Parisian ruin probability for Gaussian risk models driven by locally self-similar Gaussian processes with a power-type deterministic trend.…

math.PR2024

Probability of entering an orthant by correlated fractional Brownian motion with drift: Exact asymptotics

Krzysztof Debicki, Lanpeng Ji, Svyatoslav Novikov

For ${B_{H} (t) = (B_{H, 1} (t), \dots, B_{H, d} (t))^{⊤}, t \geq 0}$ , where ${B_{H, i} (t), t \geq 0}, 1 \leq i \leq d$ are mutually independent fractional Brownian motions, we obtain the exact…

math.PR2024

Sojourns of locally self-similar Gaussian processes

Svyatoslav M. Novikov

Given a Gaussian risk process $R (t) = u + c (t) - X (t), t \geq 0$ , the cumulative Parisian ruin probability on a finite time interval $[0, T]$ with respect to $L \geq 0$ is defined as the pro…