42 citations · 182 across the 34 of their papers we have counts for
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math.PR2020
Extrema of multi-dimensional Gaussian processes over random intervals
Lanpeng Ji, Xiaofan Peng
This paper studies the joint tail asymptotics of extrema of the multi-dimensional Gaussian process over random intervals defined as $$ P(u):=\mathbb{P}\left\{\cap_{i=1}^n \left(\su…
math.PR2020★ 2 cited
Exact asymptotics of component-wise extrema of two-dimensional Brownian motion
Krzysztof Debicki, Lanpeng Ji, Tomasz Rolski
We derive the exact asymptotics of \[ P\left( \sup_{t\ge 0} \Bigl( X_1(t) - μ_1 t\Bigr)> u, \ \sup_{s\ge 0} \Bigl( X_2(s) - μ_2 s\Bigr)> u \right), \ \ u\to\infty, \] where $(X_1(t…