Extrema of multi-dimensional Gaussian processes over random intervals
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Cites work
- A ruin model with a resampled environment
- A Storage Model with a Two-State Random Environment
- A test for a conjunction
- Asymptotics of supremum distribution of a Gaussian process over a Weibullian time
- Conjunction probability of smooth centered Gaussian processes
- Crude asymptotics of the probability of simultaneous high extrema of two Gaussian processes: the dual action functional
- Double lookbacks
- Exact asymptotics and limit theorems for supremum of stationary \(\chi\)-processes over a random interval
- Exact asymptotics of component-wise extrema of two-dimensional Brownian motion
- Exact asymptotics of supremum of a stationary Gaussian process over a random interval
- Extremes of Gaussian processes over an infinite horizon
- Extremes of multidimensional Gaussian processes
- Extremes of vector-valued Gaussian processes
- Extremes of vector-valued Gaussian processes: exact asymptotics
- Finite-time ruin probability for correlated Brownian motions
- Functional large deviations for multivariate regularly varying random walks
- Heavy-Tail Phenomena
- scientific article; zbMATH DE number 4030574 (Why is no real title available?)
- scientific article; zbMATH DE number 43570 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 846847 (Why is no real title available?)
- Kac-Lévy processes
- Large deviations of bivariate Gaussian extrema
- Multivariate subordination, self-decomposability and stability
- Multivariate time changes for Lévy asset models: characterization and calibration
- On the asymptotics of supremum distribution for some iterated processes
- Regular variation of GARCH processes.
- Regularly varying functions
- Ruin probabilities
- Ruin problem of a two-dimensional fractional Brownian motion risk process
- Smoothness of the law of the supremum of the fractional Brownian motion
- Subexponential asymptotics of hybrid fluid and ruin models
- Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals
- Tail Asymptotics of the Supremum of a Regenerative Process
- The fractional multivariate normal tempered stable process
- The supremum of a Gaussian process over a random interval
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