L. Bai

activity

20172019

most citedDrawdown and drawup for fractional Brownian motion with trend

2 citations · 2 across the 4 of their papers we have counts for

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7 papers · 1 filter

math.PR2018

Extremes of Locally-stationary Chi-square processes on discrete grids

Long Bai

For $X_{i} (t), i = 1, \dots, n, t \in [0, T]$ centered Gaussian processes, the chi-square process $\sum_{i = 1}^{n} X_{i}^{2} (t)$ appears naturally as limiting processes in various statistical…

math.PR2018

Extremes of Gaussian chaos processes with Trend

Long Bai

Let $X (t) = (X_{1} (t), \dots, X_{d} (t)), t \in [0, S]$ be a Gaussian vector process and let $g (x), x \in R^{d}$ be a continuous homogeneous functi…

math.PR2018

Ruin problem for Brownian motion risk model with interest rate and tax payment

Long Bai, Peng Liu

Let ${B (t), t \geq 0}$ be a Brownian motion. Consider the Brownian motion risk model with interest rate collection and tax payment defined by \begin{align}\label{Rudef} \widetilde{…

math.PR2018

Approximation of Kolmogorov-Smirnov Test Statistics

Long Bai, David Kalaj

Motivated by the weak limit of the Kolmogorov-Smirnov test statistics, in this contribution, we concern the asymptotics of \begin{align*} \mathbb{P}\left\{\sup_{\boldsymbol{x}\in […

math.PR2018★ 2 cited

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…

math.PR2018

Extremes of vector-valued Gaussian processes with Trend

Long Bai, Krzysztof Debicki, Peng Liu

Let $X (t) = (X_{1} (t), \dots, X_{n} (t)), t \in T \subset R$ be a centered vector-valued Gaussian process with independent components and continuous trajectories, and $h…