L. Bai

activity

20162021

most citedExtremes of threshold-dependent Gaussian processes

3 citations · 7 across the 14 of their papers we have counts for

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Showing 2016 · math.PRShow all

2 papers · 2 filters

math.PR2016

Parisian Ruin of the Brownian Motion Risk Model with Constant Force of Interest

Long Bai, Li Luo

Let $B (t), t \in R$ be a standard Brownian motion. Define a risk process \label{Rudef} R_u^δ(t)=e^{δt}\left(u+c\int^{t}_{0}e^{-δs}d s-σ\int_{0}^{t}e^{-δs}d B(s)\right), t\g…

math.PR2016

Extremes of $α (t)$ -Locally stationary Gaussian processes with non-constant variances

Long Bai

With motivation from K. Dȩbicki and P. Kisowski (2007), in this paper we derive the exact tail asymptotics of $α (t)$ -locally stationary Gaussian processes with non-constant varianc…

Parisian Ruin of the Brownian Motion Risk Model with Constant Force of Interest

Extremes of α(t)-Locally stationary Gaussian processes with non-constant variances

Extremes of $α (t)$ -Locally stationary Gaussian processes with non-constant variances