L. Ji

activity

20132024

most citedOn the Supremum of gamma-reflected Processes with Fractional Brownian Motion as Input

42 citations · 182 across the 34 of their papers we have counts for

collaborators

Showing 2014 · math.PRShow all

7 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

Parisian Ruin of Self-similar Gaussian Risk Processes

Krzysztof Dȩbicki, Enkelejd Hashorva, Lanpeng Ji

In this paper we derive the exact asymptotics of the probability of Parisian ruin for self-similar Gaussian risk processes. Additionally, we obtain the normal approximation of the…

math.PR2014★ 26 cited

Extremes of a class of nonhomogeneous Gaussian random fields

Krzysztof Dȩbicki, Enkelejd Hashorva, Lanpeng Ji

This contribution establishes exact tail asymptotics of $sup_{(s, t) \in E}$ $X (s, t)$ for a large class of nonhomogeneous Gaussian random fields $X$ on a bounded convex set…

math.PR2014

Finite-time ruin probability of aggregate Gaussian processes

Krzysztof Debicki, Enkelejd Hashorva, Lanpeng Ji +1

Let ${\sum_{i = 1}^{n} λ_{i} X_{i} (t), t \in [0, T]}$ be an aggregate Gaussian risk process with $X_{i}, i \leq n$ independent Gaussian processes satisfying Piterbarg conditions an…

math.PR2014★ 4 cited

Extremes of Order Statistics of Stationary Processes

Krzysztof Debicki, Enkelejd Hashorva, Lanpeng Ji +1

Let ${X_{i} (t), t \geq 0}, 1 \leq i \leq n$ be independent copies of a stationary process ${X (t), t \geq 0}$ . For given positive constants $u, T$ , define the set of $r$ th conjunctions $ C_{r…

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…