Hitting probabilities and large deviations
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Cites work
- scientific article; zbMATH DE number 410740 (Why is no real title available?)
- scientific article; zbMATH DE number 3876298 (Why is no real title available?)
- scientific article; zbMATH DE number 823382 (Why is no real title available?)
- scientific article; zbMATH DE number 3091321 (Why is no real title available?)
- Convex Analysis
- Entropy, a useful concept in risk theory
- Hitting probabilities and large deviations
- Large exceedances for multidimensional Lévy processes
- Limit distributions of maximal segmental score among Markov-dependent partial sums
- Limit theorems for first-passage times in linear and non-linear renewal theory
- Rough limit results for level-crossing probabilities
- Strong limit theorems of empirical distributions for large segmental exceedances of partial sums of Markov variables
Cited in
(35)- Extreme hitting probabilities for diffusion*
- An extension of a logarithmic form of Cramér's ruin theorem to some FARIMA and related processes
- A bivariate Laguerre expansions approach for joint ruin probabilities in a two-dimensional insurance risk process
- Asymptotic behavior of some hitting probabilities for sums of IID Gaussian random sets
- On the gain of collaboration in a two dimensional ruin problem
- Projection theorems for hitting probabilities and a theorem of Littlewood
- Cramér asymptotics for finite time first passage probabilities of general Lévy processes
- The exact asymptotics for hitting probability of a remote orthant by a multivariate Lévy process: the Cramér case
- Some local approximation properties of simple point processes
- Uniform asymptotics for ruin probabilities of multidimensional risk models with stochastic returns and regular variation claims
- Asymptotics for the ruin probabilities of a two-dimensional renewal risk model with heavy-tailed claims
- Different topological solution structures in a two-dimensional controlled ruin problem depending on the optimization criterion
- Hitting times and positions in rare events
- On an asymptotic rule \(A+B/u\) for ultimate ruin probabilities under dependence by mixing
- Hitting probabilities and large deviations
- Asymptotics of the hitting probability for a small sphere and a two dimensional Brownian motion with discontinuous anisotropic drift
- Asymptotic analysis of risk quantities conditional on ruin for multidimensional heavy-tailed random walks
- Logarithmic asymptotics for multidimensional extremes under nonlinear scalings
- Light tail asymptotics in multidimensional reflecting processes for queueing networks
- Uniform asymptotics for ruin probability of a two-dimensional dependent renewal risk model
- Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results
- De Vylder type approximation of the ruin probability for the insurer-reinsurer model
- Large deviations for hitting times on some decreasing sets
- Ruin probability in a two-dimensional model with correlated Brownian motions
- First passage times of general sequences of random vectors: A large deviations approach
- Asymptotic multivariate finite-time ruin probability with statistically dependent heavy-tailed claims
- Importance sampling techniques for the multidimensional ruin problem for general Markov additive sequences of random vectors
- Recursive methods for a multi-dimensional risk process with common shocks
- Extremes of vector-valued Gaussian processes
- Optimal control and dependence modeling of insurance portfolios with Lévy dynamics
- Ruin problems of multidimensional risk models under constant interest rates and dependent risks with heavy tails
- Rare event analysis and efficient simulation for a multi-dimensional ruin problem
- First exit time for a discrete-time parallel queue
- scientific article; zbMATH DE number 6318801 (Why is no real title available?)
- Hitting, returning and the short correlation function
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