Z. Tan

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20132023

most citedOn Piterbarg Max-discretisation Theorem for Multivariate Stationary Gaussian Processes

15 citations · 45 across the 16 of their papers we have counts for

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Showing 2014 · math.PRShow all

4 papers · 2 filters

math.PR2014★ 1 cited

Piterbarg's max-discretisation theorem for stationary vector Gaussian processes observed on different grids

E. Hashorva, Z. Tan

In this paper we derive Piterbarg's max-discretisation theorem for two different grids considering centered stationary vector Gaussian processes. So far in the literature results i…

math.PR2014★ 15 cited

On Piterbarg Max-discretisation Theorem for Multivariate Stationary Gaussian Processes

Z. Tan, E. Hashorva

Let ${X (t), t \geq 0}$ be a stationary Gaussian process with zero-mean and unit variance. A deep result derived in Piterbarg (2004), which we refer to as Piterbarg's max-discretisa…

math.PR2014★ 12 cited

Asymptotics of maxima of strongly dependent Gaussian processes

Z. Tan, E. Hashorva, Z. Peng

Let ${X_{n} (t), t \in [0, \infty)}, n \in N$ be a sequence of centered dependent stationary Gaussian processes. The limit distribution of $sup_{t \in [0, T (n)]} ∣ X_{n} (t) ∣$ is e…

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…