55 citations · 314 across the 47 of their papers we have counts for
6 papers · 1 filter
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…
Extremes of a class of nonhomogeneous Gaussian random fields
Krzysztof Dȩbicki, Enkelejd Hashorva, Lanpeng Ji
This contribution establishes exact tail asymptotics of for a large class of nonhomogeneous Gaussian random fields on a bounded convex set…
Finite-time ruin probability of aggregate Gaussian processes
Krzysztof Debicki, Enkelejd Hashorva, Lanpeng Ji +1
Let be an aggregate Gaussian risk process with independent Gaussian processes satisfying Piterbarg conditions an…
On the tail asymptotics of the area swept under the Brownian storage graph
Marek Arendarczyk, Krzysztof Dȩbicki, Michel Mandjes
In this paper, the area swept under the workload graph is analyzed: with denoting the stationary workload process, the asymptotic behavior of \[π_{T(u)}(u):={\ma…
Extremes of Order Statistics of Stationary Processes
Krzysztof Debicki, Enkelejd Hashorva, Lanpeng Ji +1
Let be independent copies of a stationary process . For given positive constants , define the set of th conjunctions $ C_{r…
On the Probability of Conjunctions of Stationary Gaussian Processes
Krzysztof Dȩbicki, Enkelejd Hashorva, Lanpeng Ji +1
Let be independent centered stationary Gaussian processes with unit variance and almost surely continuous sample paths. For given positive constants…