Extremes of a certain class of Gaussian processes
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Cites work
Cited in
(only showing first 100 items - show all)- Fractional Brownian Motion withH< 1/2 as a Limit of Scheduled Traffic
- Efficient simulation for the maximum of infinite horizon discrete-time Gaussian processes
- Survival exponents for some Gaussian processes
- On convergence to stationarity of fractional Brownian storage
- Editorial introduction: special issue on Gaussian queues
- On the reflected fractional Brownian motion process on the positive orthant: asymptotics for a maximum with application to queueing networks
- Sojourn times of Gaussian processes with trend
- On supremum of one-point conditioned fractional Brownian motion
- On the ruin probability for physical fractional Brownian motion
- Parisian ruin of self-similar Gaussian risk processes
- Extremes of standard multifractional Brownian motion
- On the maximum workload of a queue fed by fractional Brownian motion.
- Transient characteristics of Gaussian queues
- Reduced-load equivalence for Gaussian processes
- Ruin problem of a two-dimensional fractional Brownian motion risk process
- Exact overflow asymptotics for queues with many Gaussian inputs
- Explicit computation of second order moments of importance sampling estimators for fractional Brownian motion
- scientific article; zbMATH DE number 6919716 (Why is no real title available?)
- Extremes of spherical fractional Brownian motion
- Heavy traffic limit theorems for a queue with Poisson ON/OFF long-range dependent sources and general service time distribution
- Extremes of reflecting Gaussian processes on discrete grid
- Maximal Inequalities for Fractional Brownian Motion: An Overview
- Approximation of sojourn times of Gaussian processes
- Lower tail probabilities for Gaussian processes.
- The joint distribution of running maximum of a Slepian process
- Extreme value theory for a sequence of suprema of a class of Gaussian processes with trend
- Tail probabilities of subadditive functionals of Lévy processes.
- Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals
- Remarks on Pickands' theorem
- Probability distributions of extremes of self-similar Gaussian random fields
- Extremes of space-time Gaussian processes
- Sojourns of fractional Brownian motion queues: transient asymptotics
- Distribution of maximum loss of fractional Brownian motion with drift
- Gaussian risk models with financial constraints
- Extremes of independent Gaussian processes
- Extremes of Gaussian processes with random variance
- Generalized Pickands constants and stationary max-stable processes
- Ruin probability at a given time for a model with liabilities of the fractional Brownian motion type: A partial differential equation approach
- On the infimum attained by the reflected fractional Brownian motion
- Sample-path large deviations for tandem and priority queues with Gaussian inputs
- Extreme values of the cyclostationary Gaussian random process
- Extremes of stationary Gaussian storage models
- Exact quantiles of Gaussian process extremes
- Cramér's estimate for stable processes with power drift
- Parisian ruin over a finite-time horizon
- A heavy traffic approach to modeling large life insurance portfolios
- Extremes of \(\gamma\)-reflected Gaussian processes with stationary increments
- Extremes of locally stationary chi-square processes with trend
- Uniform tail approximation of homogenous functionals of Gaussian fields
- scientific article; zbMATH DE number 7662453 (Why is no real title available?)
- Extremes of Gaussian process and the constant H_
- On the -reflected processes with fBm input
- Sample path properties of reflected Gaussian processes
- Queueing performance estimation for general multifractal traffic
- Bounds for expected supremum of fractional Brownian motion with drift
- Tail probabilities of local times of Gaussian processes and diffusions
- Exact asymptotics of Gaussian-driven tandem queues
- A limit theorem for the time of ruin in a Gaussian ruin problem
- On the maxima of suprema of dependent Gaussian models
- Extremes of \(\alpha(t)\)-locally stationary Gaussian processes with non-constant variances
- High excursions of Gaussian nonstationary processes in discrete time
- Simultaneous ruin probability for two-dimensional fractional Brownian motion risk process over discrete grid
- Bounds for the expected supremum of some non-stationary Gaussian processes
- Extremes of Gaussian processes with maximal variance near the boundary points
- On first and last ruin times of Gaussian processes
- Limit theorem for maximum of the storage process with fractional Brownian motion as input
- Extremes of vector-valued Gaussian processes: exact asymptotics
- Extrema of a Gaussian random field: Berman's sojourn time method
- Conditional limit theorems for regulated fractional Brownian motion
- On extreme value theory for group stationary Gaussian processes
- Extremes of Gaussian processes with a smooth random trend
- On average losses in the ruin problem with fractional Brownian motion as input
- Ruin probability for Gaussian integrated processes.
- Simultaneous ruin probability for multivariate Gaussian risk model
- Extremes of Gaussian random fields with regularly varying dependence structure
- On overload in a storage model, with a self-similar and infinitely divisible input.
- Parisian ruin of the Brownian motion risk model with constant force of interest
- Asymptotics of supremum distribution of \(\alpha (t)\)-locally stationary Gaussian processes
- Large deviations and long-time behavior of stochastic fluid queues with generalized fractional Brownian motion input
- Probability of entering an orthant by correlated fractional Brownian motion with drift: exact asymptotics
- Extreme values of portfolio of Gaussian processes and a trend
- Extrema of multi-dimensional Gaussian processes over random intervals
- Extremes of the time-average of stationary Gaussian processes
- Ruin Probability for the Integrated Gaussian Process with Force of Interest
- Extremes of Gaussian processes over an infinite horizon
- Simulation of the Asymptotic Constant in Some Fluid Models
- A note on extreme values of locally stationary Gaussian processes
- Extremes and crossings for differentiable stationary processes with application to Gaussian processes in \(\mathbb{R}{}^ m\) and Hilbert space
- Extremes of multidimensional Gaussian processes
- Extremes of threshold-dependent Gaussian processes
- Extremal ranks and transformation of variables for extremes of functions of multivariate Gaussian processes
- Derivatives of sup-functionals of fractional Brownian motion evaluated at \(H=\frac{1}{2}\)
- Derivative of the expected supremum of fractional Brownian motion at \(H=1\)
- Open problems in Gaussian fluid queueing theory
- An Erdös-Révész type law of the iterated logarithm for reflected fractional Brownian motion
- Extremes of vector-valued Gaussian processes with trend
- On probability of high extremes of Gaussian fields with a smooth random trend
- Excursion probability of certain non-centered smooth Gaussian random fields
- Extremes of nonstationary Gaussian fluid queues
- Limit theorem for the moment of ruin for integrated Gaussian stationary process with power function as profit
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