4 citations · 10 across the 6 of their papers we have counts for
4 papers · 1 filter
Sojourns of fractional Brownian motion queues: transient asymptotics
Krzysztof Dȩbicki, Enkelejd Hashorva, Peng Liu
We study the asymptotics of sojourn time of the stationary queueing process fed by a fractional Brownian motion with Hurst parameter above a high threshold…
Extremes of Gaussian Random Fields with maximum variance attained over smooth curves
Peng Liu
Let , with a compact set, be a centered two dimensional Gaussian random field with continuous trajectories and variance function $σ(s,t)…
A note on ruin problems in perturbed classical risk models
Peng Liu, Chunsheng Zhang, Lanpeng Ji
In this short note, we derive explicit formulas for the joint densities of the time to ruin and the number of claims until ruin in perturbed classical risk models, by constructing…
Extremes of Chi-square Processes with Trend
Peng Liu, Lanpeng Ji
This paper studies the supremum of a chi-square process with trend over a threshold-dependent-time horizon. Under the assumption that the chi-square process is generated from a cen…