Peng Liu

activity

20142021

most citedSojourn times of Gaussian processes with trend

21 citations · 59 across the 19 of their papers we have counts for

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Showing 2014 · math.PRShow all

2 papers · 2 filters

math.PR2014★ 4 cited

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…

math.PR2014

On the gamma-reflected processes with fBm input

Peng Liu, Enkelejd Hashorva, Lanpeng Ji

Define a $γ$ -reflected process $W_{γ} (t) = Y_{H} (t) - γ in f_{s \in [0, t]} Y_{H} (s)$ , $t \geq 0$ with input process ${Y_{H} (t), t \geq 0}$ which is a fractional Brownian motion with Hurst index $H\in…