On generalised Piterbarg constants
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- A note on upper estimates for Pickands constants
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- Asymptotics of the supremum of scaled Brownian motion
- Bounds on the suprema of Gaussian processes, and omega results for the sum of a random multiplicative function
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- Exact overflow asymptotics for queues with many Gaussian inputs
- Exact simulation of Brown-Resnick random fields at a finite number of locations
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- Extremes of Gaussian process and the constant H_
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- On extremal theory for stationary processes
- On tail probabilities and first passage times for fractional Brownian motion
- Pickands' constant \(H_{\alpha}\) does not equal \(1/\Gamma(1/\alpha)\), for small \(\alpha\)
- Piterbarg theorems for chi-processes with trend
- Random Fields and Geometry
- Simulation of the Asymptotic Constant in Some Fluid Models
- Sojourns and extremes of stationary processes
- Some Properties of Generalized Pickands Constants
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- Uniform tail approximation of homogenous functionals of Gaussian fields
Cited in
(22)- Extremes of standard multifractional Brownian motion
- The time of ultimate recovery in Gaussian risk model
- Ruin problem of a two-dimensional fractional Brownian motion risk process
- Extremes of a class of non-stationary Gaussian processes and maximal deviation of projection density estimates
- Extremes of spherical fractional Brownian motion
- Approximation of sojourn times of Gaussian processes
- Extremes of Gaussian chaos processes with trend
- On generalized Berman constants
- Pickands-Piterbarg constants for self-similar Gaussian processes
- Tail asymptotic behavior of the supremum of a class of chi-square processes
- Approximation of ruin probability and ruin time in discrete Brownian risk models
- Estimation of change-point models
- Extremes of \(L^p\)-norm of vector-valued Gaussian processes with trend
- Asymptotics of Parisian ruin of Brownian motion risk model over an infinite-time horizon
- Parisian ruin of the Brownian motion risk model with constant force of interest
- Extremes of threshold-dependent Gaussian processes
- Derivatives of sup-functionals of fractional Brownian motion evaluated at \(H=\frac{1}{2}\)
- Extremes of vector-valued Gaussian processes with trend
- On the speed of convergence of Piterbarg constants
- A note on upper estimates for Pickands constants
- Drawdown and drawup for fractional Brownian motion with trend
- Generalized Pickands constants
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