1 citations · 2 across the 6 of their papers we have counts for
6 papers
On the maxima of suprema of dependent Gaussian models
Lanpeng Ji, Xiaofan Peng
In this paper, we study the asymptotic distribution of the maxima of suprema of dependent Gaussian processes with trend. For different scales of the time horizon we obtain differen…
Extreme value theory for a sequence of suprema of a class of Gaussian processes with trend
Lanpeng Ji, Xiaofan Peng
We investigate extreme value theory of a class of random sequences defined by the all-time suprema of aggregated self-similar Gaussian processes with trend. This study is motivated…
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…
Sojourns of Stationary Gaussian Processes over a Random Interval
Krzysztof Dȩbicki, Xiaofan Peng
We investigate asymptotics of the tail distribution of sojourn time as , where is a centered stationary Gaussian process and $…
Approximation of Sojourn Times of Gaussian Processes
Krzysztof Dȩbicki, Enkelejd Hashorva, Xiaofan Peng +1
We investigate the tail asymptotic behavior of the sojourn time for a large class of centered Gaussian processes , in both continuous- and discrete-time framework. All results o…
Parisian Ruin Probability Of An Integrated Gaussian Risk Model
Xiaofan Peng, Li Luo
In this paper we investigate the Parisian ruin probability for an integrated Gaussian process. Under certain assumptions, we find the Parisian ruin probability and the classical ru…