3 citations · 6 across the 5 of their papers we have counts for
6 papers
Sojourn times of Gaussian related random fields
Krzysztof Dȩbicki, Enkelejd Hashorva, Peng Liu +1
This paper is concerned with the asymptotic analysis of sojourn times of random fields with continuous sample paths. Under a very general framework we show that there is an interes…
Sojourns of Stationary Gaussian Processes over a Random Interval
Krzysztof Dȩbicki, Xiaofan Peng
We investigate asymptotics of the tail distribution of sojourn time as , where is a centered stationary Gaussian process and $…
Extremes of Vector-Valued Gaussian Processes
Krzysztof Dȩbicki, Enkelejd Hashorva, Longmin Wang
The seminal papers of Pickands [1,2] paved the way for a systematic study of high exceedance probabilities of both stationary and non-stationary Gaussian processes. Yet, in the vec…
Simultaneous Ruin Probability for Two-Dimensional Brownian and Lévy Risk Models
Krzysztof Dȩbicki, Enkelejd Hashorva, Zbigniew Michna
The ruin probability in the classical Brownian risk model can be explicitly calculated for both finite and infinite-time horizon. This is not the case for the simultaneous ruin pro…
Extremes of stationary Gasussian storage models
Krzysztof Dȩbicki, Peng Liu
For the stationary storage process , with where is a centered Gaussian process with stat…
Extremes of vector-valued Gaussian processes: exact asymptotics
Krzysztof Dȩbicki, Enkelejd Hashorva, Lanpeng Ji +1
Let be mutually independent centered Gaussian processes with almost surely continuous sample paths. We derive the exact asymptotics of $$ P\left(\ex…