| Publication | Date of Publication | Type |
|---|
Probability of entering an orthant by correlated fractional Brownian motion with drift: exact asymptotics
Extremes | 2024-11-12 | Paper |
On Berman functions
Methodology and Computing in Applied Probability | 2024-04-02 | Paper |
Sojourns of stationary Gaussian processes over a random interval
(available as arXiv preprint) | 2024-02-05 | Paper |
| Sojourns of stationary Gaussian processes over a random interval | 2024-02-05 | Paper |
Extremes of reflecting Gaussian processes on discrete grid
Journal of Mathematical Analysis and Applications | 2024-01-02 | Paper |
Sojourns of fractional Brownian motion queues: transient asymptotics
Queueing Systems | 2023-12-14 | Paper |
Simultaneous ruin probability for multivariate Gaussian risk model
Stochastic Processes and their Applications | 2023-05-17 | Paper |
| scientific article; zbMATH DE number 7662453 (Why is no real title available?) | 2023-03-13 | Paper |
scientific article; zbMATH DE number 7662453 (Why is no real title available?)
(available as arXiv preprint) | 2023-03-13 | Paper |
Derivative of the expected supremum of fractional Brownian motion at \(H=1\)
Queueing Systems | 2022-11-09 | Paper |
Derivatives of sup-functionals of fractional Brownian motion evaluated at \(H=\frac{1}{2}\)
Electronic Journal of Probability | 2022-10-04 | Paper |
Derivatives of sup-functionals of fractional Brownian motion evaluated at \(H=\frac{1}{2}\)
Electronic Journal of Probability | 2022-10-04 | Paper |
Exact asymptotics of Gaussian-driven tandem queues
Queueing Systems | 2022-06-16 | Paper |
Pandemic-type failures in multivariate Brownian risk models
Extremes | 2022-04-04 | Paper |
On the continuity of Pickands constants
Journal of Applied Probability | 2022-04-01 | Paper |
Finite-time ruin probability for correlated Brownian motions
Scandinavian Actuarial Journal | 2022-03-02 | Paper |
Derivatives of sup-functionals of fractional Brownian motion evaluated at H=1/2
(available as arXiv preprint) | 2021-10-17 | Paper |
| Extremes of Gaussian random fields with non-additive dependence structure | 2021-08-20 | Paper |
Pickands-Piterbarg constants for self-similar Gaussian processes
(available as arXiv preprint) | 2021-07-02 | Paper |
Bounds for expected supremum of fractional Brownian motion with drift
Journal of Applied Probability | 2021-06-28 | Paper |
Bounds for expected supremum of fractional Brownian motion with drift
Journal of Applied Probability | 2021-06-28 | Paper |
Exact asymptotics of component-wise extrema of two-dimensional Brownian motion
Extremes | 2021-05-21 | Paper |
Exact asymptotics of component-wise extrema of two-dimensional Brownian motion
Extremes | 2021-05-21 | Paper |
Sojourn times of Gaussian related random fields
(available as arXiv preprint) | 2021-01-27 | Paper |
Sojourn times of Gaussian processes with trend
Journal of Theoretical Probability | 2020-10-30 | Paper |
Sojourn times of Gaussian processes with trend
Journal of Theoretical Probability | 2020-10-30 | Paper |
Extremes of vector-valued Gaussian processes
Stochastic Processes and their Applications | 2020-09-02 | Paper |
Simultaneous ruin probability for two-dimensional Brownian risk model
Journal of Applied Probability | 2020-07-22 | Paper |
Approximation of sojourn times of Gaussian processes
Methodology and Computing in Applied Probability | 2020-05-04 | Paper |
Approximation of supremum of max-stable stationary processes \& Pickands constants
Journal of Theoretical Probability | 2020-02-18 | Paper |
Extremes of nonstationary Gaussian fluid queues
Advances in Applied Probability | 2020-02-05 | Paper |
Uniform tail approximation of homogenous functionals of Gaussian fields
Advances in Applied Probability | 2019-09-16 | Paper |
The time of ultimate recovery in Gaussian risk model
Extremes | 2019-09-05 | Paper |
The time of ultimate recovery in Gaussian risk model
Extremes | 2019-09-05 | Paper |
| Logarithmic asymptotics for probability of component-wise ruin in a two-dimensional Brownian model | 2019-06-21 | Paper |
Extremal behavior of hitting a cone by correlated Brownian motion with drift
Stochastic Processes and their Applications | 2018-12-10 | Paper |
Extremal behavior of hitting a cone by correlated Brownian motion with drift
Stochastic Processes and their Applications | 2018-12-10 | Paper |
Extremes of threshold-dependent Gaussian processes
Science China. Mathematics | 2018-11-23 | Paper |
| On Extremal Index of max-stable stationary processes | 2018-08-08 | Paper |
On Extremal Index of max-stable stationary processes
(available as arXiv preprint) | 2018-08-08 | Paper |
Extremes of \(\gamma\)-reflected Gaussian processes with stationary increments
ESAIM: Probability and Statistics | 2018-08-07 | Paper |
Gaussian risk models with financial constraints
Scandinavian Actuarial Journal | 2018-07-11 | Paper |
Gaussian risk models with financial constraints
Scandinavian Actuarial Journal | 2018-07-11 | Paper |
Extremes of vector-valued Gaussian processes with trend
Journal of Mathematical Analysis and Applications | 2018-05-31 | Paper |
An Erdős-Révész type law of the iterated logarithm for order statistics of a stationary Gaussian process
Journal of Theoretical Probability | 2018-04-20 | Paper |
On generalised Piterbarg constants
Methodology and Computing in Applied Probability | 2018-03-01 | Paper |
An Erdös-Révész type law of the iterated logarithm for reflected fractional Brownian motion
Extremes | 2018-01-31 | Paper |
Generalized Pickands constants and stationary max-stable processes
Extremes | 2018-01-26 | Paper |
Extremes of randomly scaled Gumbel risks
Journal of Mathematical Analysis and Applications | 2017-11-02 | Paper |
Extremes of Gaussian random fields with regularly varying dependence structure
Extremes | 2017-11-02 | Paper |
Lévy-driven GPS queues with heavy-tailed input
Queueing Systems | 2017-08-14 | Paper |
| Comparison inequalities for order statistics of Gaussian arrays | 2017-02-23 | Paper |
Comparison inequalities for order statistics of Gaussian arrays
(available as arXiv preprint) | 2017-02-23 | Paper |
| Extremes of threshold-dependent Gaussian processes | 2017-01-19 | Paper |
Parisian ruin over a finite-time horizon
Science China. Mathematics | 2016-06-17 | Paper |
Parisian ruin over a finite-time horizon
Science China. Mathematics | 2016-06-17 | Paper |
Extremes of stationary Gaussian storage models
Extremes | 2016-06-07 | Paper |
Extremes of stationary Gaussian storage models
Extremes | 2016-06-07 | Paper |
Extremes of a class of nonhomogeneous Gaussian random fields
The Annals of Probability | 2016-05-12 | Paper |
Extremes of a class of nonhomogeneous Gaussian random fields
The Annals of Probability | 2016-05-12 | Paper |
Gaussian approximation of perturbed chi-square risks
Statistics and Its Interface | 2015-12-09 | Paper |
Parisian ruin of self-similar Gaussian risk processes
Journal of Applied Probability | 2015-10-30 | Paper |
Parisian ruin of self-similar Gaussian risk processes
Journal of Applied Probability | 2015-10-30 | Paper |
Extremes of vector-valued Gaussian processes: exact asymptotics
Stochastic Processes and their Applications | 2015-08-24 | Paper |
Queues and Lévy fluctuation theory
Universitext | 2015-07-09 | Paper |
Extremes of order statistics of stationary processes
Test | 2015-06-26 | Paper |
Extremes of homogeneous Gaussian random fields
Journal of Applied Probability | 2015-05-29 | Paper |
Extremes of homogeneous Gaussian random fields
Journal of Applied Probability | 2015-05-29 | Paper |
Exact tail asymptotics of the supremum attained by a Lévy process
Statistics & Probability Letters | 2015-04-01 | Paper |
Finite-time ruin probability of aggregate Gaussian processes
(available as arXiv preprint) | 2015-01-26 | Paper |
Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals
Extremes | 2015-01-23 | Paper |
On the infimum attained by the reflected fractional Brownian motion
Extremes | 2015-01-23 | Paper |
On the probability of conjunctions of stationary Gaussian processes
Statistics & Probability Letters | 2014-06-11 | Paper |
On the tail asymptotics of the area swept under the Brownian storage graph
Bernoulli | 2014-05-05 | Paper |
On the tail asymptotics of the area swept under the Brownian storage graph
Bernoulli | 2014-05-05 | Paper |
| Random Scaling of Gumbel Risks | 2013-12-26 | Paper |
Transient analysis of Lévy-driven tandem queues
Statistics & Probability Letters | 2013-12-06 | Paper |
Open problems in Gaussian fluid queueing theory
Queueing Systems | 2013-11-25 | Paper |
Gaussian queues in light and heavy traffic
Queueing Systems | 2013-11-25 | Paper |
Asymptotics of hybrid fluid queues with Lévy input
Journal of Applied Probability | 2013-04-25 | Paper |
On the infimum attained by a reflected Lévy process
Queueing Systems | 2012-06-20 | Paper |
Exact asymptotics of supremum of a stationary Gaussian process over a random interval
Statistics & Probability Letters | 2012-05-18 | Paper |
Asymptotics of supremum distribution of a Gaussian process over a Weibullian time
Bernoulli | 2011-09-02 | Paper |
Extremes of the time-average of stationary Gaussian processes
Stochastic Processes and their Applications | 2011-08-04 | Paper |
Finite time asymptotics of fluid and ruin models: multiplexed fractional Brownian motions case
Applicationes Mathematicae | 2011-03-04 | Paper |
Extremes of multidimensional Gaussian processes
Stochastic Processes and their Applications | 2010-11-25 | Paper |
Extremes of multidimensional Gaussian processes
Stochastic Processes and their Applications | 2010-11-25 | Paper |
Transient Asymptotics of Lévy-Driven Queues
Journal of Applied Probability | 2010-04-08 | Paper |
| Estimates for moments of supremum of reflected fractional Brownian motion | 2009-12-16 | Paper |
Transient characteristics of Gaussian queues
Queueing Systems | 2009-11-06 | Paper |
A note on upper estimates for Pickands constants
Statistics & Probability Letters | 2009-09-30 | Paper |
Asymptotics of supremum distribution of \(\alpha (t)\)-locally stationary Gaussian processes
Stochastic Processes and their Applications | 2008-11-14 | Paper |
Quasi-Product Forms for Lévy-Driven Fluid Networks
Mathematics of Operations Research | 2008-05-27 | Paper |
A note on large-buffer asymptotics for generalized processor sharing with Gaussian inputs
Queueing Systems | 2007-06-14 | Paper |
A TANDEM QUEUE WITH LÉVY INPUT: A NEW REPRESENTATION OF THE DOWNSTREAM QUEUE LENGTH
Probability in the Engineering and Informational Sciences | 2007-03-23 | Paper |
Large buffer asymptotics for generalized processor sharing queues with Gaussian inputs
Queueing Systems | 2006-12-20 | Paper |
Some Properties of Generalized Pickands Constants
Theory of Probability & Its Applications | 2006-06-09 | Paper |
Reduced-load equivalence for Gaussian processes
Operations Research Letters | 2005-08-25 | Paper |
Subexponential asymptotics of hybrid fluid and ruin models
The Annals of Applied Probability | 2005-04-29 | Paper |
The supremum of a Gaussian process over a random interval
Statistics & Probability Letters | 2005-04-21 | Paper |
Ruin probability for Gaussian integrated processes.
Stochastic Processes and their Applications | 2005-02-25 | Paper |
Traffic with an fBm limit: convergence of the stationary workload process
Queueing Systems | 2004-08-10 | Paper |
Exact overflow asymptotics for queues with many Gaussian inputs
Journal of Applied Probability | 2004-05-18 | Paper |
Simulation of the Asymptotic Constant in Some Fluid Models
Stochastic Models | 2003-07-24 | Paper |
A note on transient Gaussian fluid models
Queueing Systems | 2002-08-28 | Paper |
On the supremum from Gaussian processes over infinite horizon
Probability and Mathematical Statistics | 2002-02-18 | Paper |
Asymptotics of the supremum of scaled Brownian motion
Probability and Mathematical Statistics | 2002-02-18 | Paper |
A note on LDP for supremum of Gaussian processes over infinite horizon
Statistics & Probability Letters | 2000-09-04 | Paper |
On-off fluid models in heavy traffic environment
Queueing Systems | 2000-03-30 | Paper |
A Gaussian fluid model
Queueing Systems | 1996-07-01 | Paper |
Probability of entering an orthant by correlated fractional Brownian motion with drift: Exact asymptotics
(available as arXiv preprint) | N/A | Paper |
