1 citations · 3 across the 5 of their papers we have counts for
5 papers
Sojourns of Vector-Valued Stationary Gaussian Random Fields
Krzysztof Dębicki, Enkelejd Hashorva, Zbigniew Michna
For a centered, homogeneous R^d-valued Gaussian random field X(t), t in R^k, with covariance matrix function R(s,t) = E[X(s) X(t)^T], we investigate the exact asymptotics of kappa_…
Approximation of Sojourn Times of Gaussian Processes
Krzysztof Dȩbicki, Enkelejd Hashorva, Xiaofan Peng +1
We investigate the tail asymptotic behavior of the sojourn time for a large class of centered Gaussian processes , in both continuous- and discrete-time framework. All results o…
The impact of stochastic lead times on the bullwhip effect
Zbigniew Michna, Peter Nielsen, Izabela Ewa Nielsen
In this article we want to review the research state on the bullwhip effect in supply chains with stochastic lead times and give a contribution to quantifying the bullwhip effect.…
The distribution of the supremum for spectrally asymmetric Lévy processes
Zbigniew Michna, Zbigniew Palmowski, Martijn Pistorius
In this article we derive formulas for the probability and where is a spectrally positive Lévy process with infinit…
Explicit formula for the supremum distribution of a spectrally negative stable process
Zbigniew Michna
In this article we get simple explicit formulas for $\Exp\sup_{s\leq t}X(s)$ where is a spectrally positive or negative Lévy process with infinite variation. As a consequence w…