Krystecki, Konrad Cumulative Parisian ruin probability for two-dimensional Brownian risk model. (English) Zbl 07803204 Probab. Math. Stat. 43, No. 1, 63-81 (2023). MSC: 60G15 60G70 60G51 91G05 PDFBibTeX XMLCite \textit{K. Krystecki}, Probab. Math. Stat. 43, No. 1, 63--81 (2023; Zbl 07803204) Full Text: DOI
Ji, Lanpeng; Peng, Xiaofan Extreme value theory for a sequence of suprema of a class of Gaussian processes with trend. (English) Zbl 1527.60024 Stochastic Processes Appl. 158, 418-452 (2023). Reviewer: Ravi Sreenivasan (Mysore) MSC: 60G15 60G70 60F05 62G30 PDFBibTeX XMLCite \textit{L. Ji} and \textit{X. Peng}, Stochastic Processes Appl. 158, 418--452 (2023; Zbl 1527.60024) Full Text: DOI arXiv
Ji, Lanpeng; Peng, Xiaofan Extrema of multi-dimensional Gaussian processes over random intervals. (English) Zbl 1492.60088 J. Appl. Probab. 59, No. 1, 81-104 (2022). MSC: 60G15 60G70 PDFBibTeX XMLCite \textit{L. Ji} and \textit{X. Peng}, J. Appl. Probab. 59, No. 1, 81--104 (2022; Zbl 1492.60088) Full Text: DOI Link
Krystecki, Konrad Parisian ruin probability for two-dimensional Brownian risk model. (English) Zbl 1478.60112 Stat. Probab. Lett. 182, Article ID 109327, 10 p. (2022). MSC: 60G15 60G51 91G05 60G70 PDFBibTeX XMLCite \textit{K. Krystecki}, Stat. Probab. Lett. 182, Article ID 109327, 10 p. (2022; Zbl 1478.60112) Full Text: DOI arXiv
Dȩbicki, Krzysztof; Hashorva, Enkelejd; Krystecki, Konrad Finite-time ruin probability for correlated Brownian motions. (English) Zbl 1487.60075 Scand. Actuar. J. 2021, No. 10, 890-915 (2021). MSC: 60G15 60J65 PDFBibTeX XMLCite \textit{K. Dȩbicki} et al., Scand. Actuar. J. 2021, No. 10, 890--915 (2021; Zbl 1487.60075) Full Text: DOI arXiv
Bisewski, Krzysztof; Dębicki, Krzysztof; Mandjes, Michel Bounds for expected supremum of fractional Brownian motion with drift. (English) Zbl 1476.60074 J. Appl. Probab. 58, No. 2, 411-427 (2021). MSC: 60G22 60G15 PDFBibTeX XMLCite \textit{K. Bisewski} et al., J. Appl. Probab. 58, No. 2, 411--427 (2021; Zbl 1476.60074) Full Text: DOI arXiv Link
Dȩbicki, Krzysztof; Ji, Lanpeng; Rolski, Tomasz Exact asymptotics of component-wise extrema of two-dimensional Brownian motion. (English) Zbl 1468.60100 Extremes 23, No. 4, 569-602 (2020). MSC: 60J65 60G15 60G70 PDFBibTeX XMLCite \textit{K. Dȩbicki} et al., Extremes 23, No. 4, 569--602 (2020; Zbl 1468.60100) Full Text: DOI arXiv Link
Dȩbicki, Krzysztof; Hashorva, Enkelejd; Wang, Longmin Extremes of vector-valued Gaussian processes. (English) Zbl 1454.60049 Stochastic Processes Appl. 130, No. 9, 5802-5837 (2020). MSC: 60G15 60G70 PDFBibTeX XMLCite \textit{K. Dȩbicki} et al., Stochastic Processes Appl. 130, No. 9, 5802--5837 (2020; Zbl 1454.60049) Full Text: DOI arXiv
Korshunov, Dmitry; Wang, Longmin Tail asymptotics for Shepp-statistics of Brownian motion in \(\mathbb{R}^d \). (English) Zbl 1457.60077 Extremes 23, No. 1, 35-54 (2020). MSC: 60G70 60J65 60G15 PDFBibTeX XMLCite \textit{D. Korshunov} and \textit{L. Wang}, Extremes 23, No. 1, 35--54 (2020; Zbl 1457.60077) Full Text: DOI
van der Hofstad, Remco; Honnappa, Harsha Large deviations of bivariate Gaussian extrema. (English) Zbl 1432.60038 Queueing Syst. 93, No. 3-4, 333-349 (2019). MSC: 60F10 60G70 60K35 PDFBibTeX XMLCite \textit{R. van der Hofstad} and \textit{H. Honnappa}, Queueing Syst. 93, No. 3--4, 333--349 (2019; Zbl 1432.60038) Full Text: DOI arXiv
Kleban, A. O.; Piterbarg, V. I. Method of moments for exit probabilities of Gaussian vector processes from a large region. (English. Russian original) Zbl 1442.60042 Theory Probab. Appl. 63, No. 4, 545-555 (2019); translation from Teor. Veroyatn. Primen. 63, No. 4, 669-682 (2018). MSC: 60G15 60G70 60F10 PDFBibTeX XMLCite \textit{A. O. Kleban} and \textit{V. I. Piterbarg}, Theory Probab. Appl. 63, No. 4, 545--555 (2019; Zbl 1442.60042); translation from Teor. Veroyatn. Primen. 63, No. 4, 669--682 (2018) Full Text: DOI
Saunders, David; Tsui, Lung Kwan; Iyengar, Satish Lower tail independence of hitting times of two-dimensional diffusions. (English) Zbl 1506.60082 Probab. Eng. Inf. Sci. 32, No. 4, 522-535 (2018). MSC: 60J60 60F10 PDFBibTeX XMLCite \textit{D. Saunders} et al., Probab. Eng. Inf. Sci. 32, No. 4, 522--535 (2018; Zbl 1506.60082) Full Text: DOI
Oesting, Marco; Strokorb, Kirstin Efficient simulation of Brown-Resnick processes based on variance reduction of Gaussian processes. (English) Zbl 1436.60051 Adv. Appl. Probab. 50, No. 4, 1155-1175 (2018). MSC: 60G70 60G15 60G60 PDFBibTeX XMLCite \textit{M. Oesting} and \textit{K. Strokorb}, Adv. Appl. Probab. 50, No. 4, 1155--1175 (2018; Zbl 1436.60051) Full Text: DOI arXiv
Dȩbicki, Krzysztof; Hashorva, Enkelejd; Ji, Lanpeng; Rolski, Tomasz Extremal behavior of hitting a cone by correlated Brownian motion with drift. (English) Zbl 1417.60028 Stochastic Processes Appl. 128, No. 12, 4171-4206 (2018). MSC: 60G15 60G70 PDFBibTeX XMLCite \textit{K. Dȩbicki} et al., Stochastic Processes Appl. 128, No. 12, 4171--4206 (2018; Zbl 1417.60028) Full Text: DOI arXiv Link
Bai, Long; Dȩbicki, Krzysztof; Liu, Peng Extremes of vector-valued Gaussian processes with trend. (English) Zbl 1396.60055 J. Math. Anal. Appl. 465, No. 1, 47-74 (2018). MSC: 60G70 60G15 PDFBibTeX XMLCite \textit{L. Bai} et al., J. Math. Anal. Appl. 465, No. 1, 47--74 (2018; Zbl 1396.60055) Full Text: DOI arXiv
Dȩbicki, Krzysztof; Hashorva, Enkelejd; Liu, Peng Uniform tail approximation of homogenous functionals of Gaussian fields. (Uniform tail approximation of homogeneous functionals of Gaussian fields.) (English) Zbl 1425.60036 Adv. Appl. Probab. 49, No. 4, 1037-1066 (2017). MSC: 60G15 60G22 60G70 PDFBibTeX XMLCite \textit{K. Dȩbicki} et al., Adv. Appl. Probab. 49, No. 4, 1037--1066 (2017; Zbl 1425.60036) Full Text: DOI arXiv
Lu, Dawei A note on the estimates of multivariate Gaussian probability. (English) Zbl 1338.60058 Commun. Stat., Theory Methods 45, No. 5, 1459-1465 (2016). MSC: 60E15 60E05 62H12 PDFBibTeX XMLCite \textit{D. Lu}, Commun. Stat., Theory Methods 45, No. 5, 1459--1465 (2016; Zbl 1338.60058) Full Text: DOI
Farkas, Julia; Hashorva, Enkelejd Tail approximation for reinsurance portfolios of Gaussian-like risks. (English) Zbl 1398.62294 Scand. Actuar. J. 2015, No. 4, 319-331 (2015). MSC: 62P05 91B30 62G20 62G32 PDFBibTeX XMLCite \textit{J. Farkas} and \textit{E. Hashorva}, Scand. Actuar. J. 2015, No. 4, 319--331 (2015; Zbl 1398.62294) Full Text: DOI arXiv
Dȩbicki, Krzysztof; Hashorva, Enkelejd; Ji, Lanpeng; Tabiś, Kamil Extremes of vector-valued Gaussian processes: exact asymptotics. (English) Zbl 1321.60108 Stochastic Processes Appl. 125, No. 11, 4039-4065 (2015). MSC: 60G70 60F10 60G15 PDFBibTeX XMLCite \textit{K. Dȩbicki} et al., Stochastic Processes Appl. 125, No. 11, 4039--4065 (2015; Zbl 1321.60108) Full Text: DOI arXiv
Kosiński, K. M.; Mandjes, M. Logarithmic asymptotics for multidimensional extremes under nonlinear scalings. (English) Zbl 1321.60048 J. Appl. Probab. 52, No. 1, 68-81 (2015). MSC: 60F10 60G70 PDFBibTeX XMLCite \textit{K. M. Kosiński} and \textit{M. Mandjes}, J. Appl. Probab. 52, No. 1, 68--81 (2015; Zbl 1321.60048) Full Text: DOI arXiv Euclid
Hashorva, Enkelejd; Ji, Lanpeng Extremes and first passage times of correlated fractional Brownian motions. (English) Zbl 1319.60081 Stoch. Models 30, No. 3, 272-299 (2014). MSC: 60G22 60G15 60G70 60G60 PDFBibTeX XMLCite \textit{E. Hashorva} and \textit{L. Ji}, Stoch. Models 30, No. 3, 272--299 (2014; Zbl 1319.60081) Full Text: DOI arXiv
Cheng, Dan Double extreme on joint sets for Gaussian random fields. (English) Zbl 1298.60055 Stat. Probab. Lett. 92, 79-82 (2014). MSC: 60G60 60G70 PDFBibTeX XMLCite \textit{D. Cheng}, Stat. Probab. Lett. 92, 79--82 (2014; Zbl 1298.60055) Full Text: DOI