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 2015Show all

5 papers · 1 filter

math.PR2015★ 2 cited

Extremes and Limit Theorems for Difference of Chi-type processes

P. Albin, E. Hashorva, L. Ji +1

Let ${ζ_{m, k}^{(κ)} (t), t \geq 0}, κ > 0$ be random processes defined as the differences of two independent stationary chi-type processes with $m$ and $k$ degrees of freedom. In appl…

math.PR2015★ 1 cited

Extremes of vector-valued Gaussian processes: exact asymptotics

Krzysztof Dȩbicki, Enkelejd Hashorva, Lanpeng Ji +1

Let ${X_{i} (t), t \geq 0}, 1 \leq i \leq n$ be mutually independent centered Gaussian processes with almost surely continuous sample paths. We derive the exact asymptotics of $$ P\left(\ex…

math.PR2015★ 25 cited

On Parisian ruin over a finite-time horizon

Krzysztof Debicki, Enkelejd Hashorva, Lanpeng Ji

For a risk process $R_{u} (t) = u + c t - X (t), t \geq 0$ , where $u \geq 0$ is the initial capital, $c > 0$ is the premium rate and $X (t), t \geq 0$ is an aggregate claim process, we investigate the…

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…

math.PR2015★ 5 cited

Comparison Inequalities for Order Statistics of Gaussian Arrays

K. Debicki, E. Hashorva, L. Ji +1

Normal comparison lemma and Slepian's inequality are essential tools in the study of Gaussian processes. In this paper we extend normal comparison lemma and derive various related…