Peter Glynn

most citedOn convergence to stationarity of fractional Brownian storage

7 citations · 7 across the 2 of their papers we have counts for

collaborators

2 papers

math.PR2023

Moments of polynomial functionals of spectrally positive Lévy processes

Peter W. Glynn, Royi Jacobovic, Michel Mandjes

Let $J (\cdot)$ be a compound Poisson process with rate $λ > 0$ and a jumps distribution $G (\cdot)$ concentrated on $(0, \infty)$ . In addition, let $V$ be a random variable which is di…

math.PR2009★ 7 cited

On convergence to stationarity of fractional Brownian storage

Michel Mandjes, Ilkka Norros, Peter Glynn

With $M (t) := sup_{s \in [0, t]} A (s) - s$ denoting the running maximum of a fractional Brownian motion $A (\cdot)$ with negative drift, this paper studies the rate of convergence of $\mat…