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

collaborators

Showing 2010Show all

3 papers · 1 filter

math.PR2010★ 12 cited

On the infimum attained by a reflected Lévy process

Krzysztof Debicki, Kamil Marcin Kosinski, Michel Mandjes

This paper considers a Lévy-driven queue (i.e., a Lévy process reflected at 0), and focuses on the distribution of $M (t)$ , that is, the minimal value attained in an interval of len…

math.PR2010

Exact asymptotics of supremum of a stationary Gaussian process over a random interval

Marek Arendarczyk, Krzysztof Debicki

Let ${X (t) : t \in [0, \infty)}$ be a centered stationary Gaussian process. We study the exact asymptotics of $\pr (\sup_{s \in [0,T]} X(t) > u)$, as $u \to \infty$ , where $T$ i…

math.PR2010★ 38 cited

Extremes of multidimensional Gaussian processes

Krzysztof Dębicki, Kamil Marcin Kosiński, Michel Mandjes +1

This paper considers extreme values attained by a centered, multidimensional Gaussian process $X (t) = (X_{1} (t), \dots, X_{n} (t))$ minus drift $d (t) = (d_{1} (t), \dots, d_{n} (t))$ , on an arbitr…