K. Dȩbicki

activity

20092026

most citedAsymptotics of supremum distribution of a Gaussian process over a Weibullian time

55 citations · 314 across the 47 of their papers we have counts for

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Showing 2014 · math.PRShow all

5 papers · 2 filters

math.PR2014

Parisian Ruin of Self-similar Gaussian Risk Processes

Krzysztof Dȩbicki, Enkelejd Hashorva, Lanpeng Ji

In this paper we derive the exact asymptotics of the probability of Parisian ruin for self-similar Gaussian risk processes. Additionally, we obtain the normal approximation of the…

math.PR2014★ 26 cited

Extremes of a class of nonhomogeneous Gaussian random fields

Krzysztof Dȩbicki, Enkelejd Hashorva, Lanpeng Ji

This contribution establishes exact tail asymptotics of $sup_{(s, t) \in E}$ $X (s, t)$ for a large class of nonhomogeneous Gaussian random fields $X$ on a bounded convex set…

math.PR2014

Finite-time ruin probability of aggregate Gaussian processes

Krzysztof Debicki, Enkelejd Hashorva, Lanpeng Ji +1

Let ${\sum_{i = 1}^{n} λ_{i} X_{i} (t), t \in [0, T]}$ be an aggregate Gaussian risk process with $X_{i}, i \leq n$ independent Gaussian processes satisfying Piterbarg conditions an…

math.PR2014★ 4 cited

Extremes of Order Statistics of Stationary Processes

Krzysztof Debicki, Enkelejd Hashorva, Lanpeng Ji +1

Let ${X_{i} (t), t \geq 0}, 1 \leq i \leq n$ be independent copies of a stationary process ${X (t), t \geq 0}$ . For given positive constants $u, T$ , define the set of $r$ th conjunctions $ C_{r…

math.PR2014★ 21 cited

On the Probability of Conjunctions of Stationary Gaussian Processes

Krzysztof Dȩbicki, Enkelejd Hashorva, Lanpeng Ji +1

Let ${X_{i} (t), t \geq 0}, 1 \leq i \leq n$ be independent centered stationary Gaussian processes with unit variance and almost surely continuous sample paths. For given positive constants…