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 2018Show all

3 papers · 1 filter

math.PR2018★ 21 cited

Sojourn times of Gaussian processes with trend

Krzysztof Debicki, Peng Liu, Zbigniew Michna

We derive exact tail asymptotics of sojourn time above the level $u \geq 0$ $P (v (u) \int_{0}^{T} I (X (t) - c t > u) d t > x), x \geq 0$ as $u \to \infty$ , wher…

math.PR2018

The time of ultimate recovery in Gaussian risk model

Krzysztof Debicki, Peng Liu

We analyze the distance $R_{T} (u)$ between the first and the last passage time of ${X (t) - c t : t \in [0, T]}$ at level $u$ in time horizon $T \in (0, \infty]$ , where $X$ is a cen…

math.PR2018

Extremes of vector-valued Gaussian processes with Trend

Long Bai, Krzysztof Debicki, Peng Liu

Let $X (t) = (X_{1} (t), \dots, X_{n} (t)), t \in T \subset R$ be a centered vector-valued Gaussian process with independent components and continuous trajectories, and $h…