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

collaborators

Showing 2015 · math.PRShow all

3 papers · 2 filters

math.PR2015★ 3 cited

Extremes of $γ$ -reflected Gaussian process with stationary increments

Krzysztof Debicki, Enkelejd Hashorva, Peng Liu

For a given centered Gaussian process with stationary increments ${X (t), t \geq 0}$ and $c > 0$ , let $W_{γ} (t) = X (t) - c t - γ 0 \leq s \leq t in f (X (s) - cs), t \geq 0$ den…

math.PR2015★ 1 cited

Extremes of stationary Gasussian storage models

Krzysztof Dȩbicki, Peng Liu

For the stationary storage process ${Q (t), t \geq 0}$ , with $Q (t) = sup_{s \geq t} (X (s) - X (t) - c (s - t)^{β}),$ where ${X (t), t \geq 0}$ is a centered Gaussian process with stat…

math.PR2015★ 17 cited

Extremes of locally stationary chi-square processes with trend

Peng Liu, Lanpeng Ji

Chi-square processes with trend appear naturally as limiting processes in various statistical models. In this paper we are concerned with the exact tail asymptotics of the supremum…

Extremes of γ-reflected Gaussian process with stationary increments

Extremes of stationary Gasussian storage models

Extremes of locally stationary chi-square processes with trend

Extremes of $γ$ -reflected Gaussian process with stationary increments