42 citations · 182 across the 34 of their papers we have counts for
8 papers · 1 filter
Tail Asymptotics of Supremum of Certain Gaussian Processes over Threshold Dependent Random Intervals
Krzysztof Dȩbicki, Enkelejd Hashorva, Lanpeng Ji
Let be a centered Gaussian process and let be a non-negative constant. In this paper we study the asymptotics of $P\{\underset{t\in [0,\mathcal{T}/u^γ]}\sup X(…
Approximation of passage times of gamma-reflected processes with fBm input
Enkelejd Hashorva, Lanpeng Ji
Define a gamma-reflected process W_γ(t)=Y_H(t)-γ\inf_{s\in[0,t]}Y_H(s), t\ge0 with input process {Y_H(t), t\ge 0} which is a fractional Brownian motion with Hurst index H\in (0,1)…
Gaussian risk models with financial constraints
Krzysztof Debicki, Enkelejd Hashorva, Lanpeng Ji
In this paper we investigate Gaussian risk models which include financial elements such as inflation and interest rates. For some general models for inflation and interest rates, w…
Gaussian Approximation of Perturbed Chi-Square Risks
Krzysztof Debicki, Enkelejd Hashorva, Lanpeng Ji
In this paper we show that the conditional distribution of perturbed chi-quare risks can be approximated by certain distributions including the Gaussian ones. Our results are of in…
Extremes and first passage times of correlated fBm's
Enkelejd Hashorva, Lanpeng Ji
Let be two standard fractional Brownian motions being jointly Gaussian with constant cross-correlation. In this paper we derive the exact asymptotics of t…
Extremes of alpha(t)-locally Stationary Gaussian Random Fields
Enkelejd Hashorva, Lanpeng Ji
This contribution derives the exact asymptotic behaviour of the supremum of alpha(t)-locally stationary Gaussian random fields over a finite hypercube. We present two applications…