2 citations · 2 across the 4 of their papers we have counts for
4 papers
On generalized Piterbarg-Berman function
Chengxiu Ling, Hong Zhang, Long Bai
This paper aims to evaluate the Piterbarg-Berman function given by $$\mathcal{P\!B}_α^h(x, E) = \int_\mathbb{R}e^z\mathbb{P} \left\{{\int_E \mathbb{I}\left(\sqrt2B_α(t) - |t|^α- h(…
Drawdown and drawup for fractional Brownian motion with trend
Long Bai, Peng Liu
In this paper, we consider the drawdown and drawup of the fractional Brownian motion with trend, which corresponds to the logarithm of geometric fractional Brownian motion represen…
Extremes of vector-valued Gaussian processes with Trend
Long Bai, Krzysztof Debicki, Peng Liu
Let be a centered vector-valued Gaussian process with independent components and continuous trajectories, and $h…
Parisian ruin of Brownian motion risk model over an infinite-time horizon
Long Bai
Let be a standard Brownian motion. In this paper, we derive the exact asymptotics of the probability of Parisian ruin on infinite time horizon for the follo…