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On asymptotic constants in the theory of extremes for Gaussian processes
3 references·5 citing·24 second hop
On asymptotic constants in the theory of extremes for Gaussian processes (2014)On asymptotic constants in the theory of …Ruin probability for Gaussian integrated processes (2002)Ruin probability for Gaussian…Discretization Error in Simulation of One-Dimensional Reflecting Brownian Motion (1995)Discretization Error in Simul…Tests for Hurst Effect (1987)Tests for Hurst EffectGeneralized Pickands constants and stationary max-stable processes (2017)Generalized Pickands constant…Parisian ruin of self-similar Gaussian risk processes (2015)Parisian ruin of self-similar…Extremes of vector-valued Gaussian processes: Exact asymptotics (2015)Extremes of vector-valued Gau…Bounds for expected maxima of Gaussian processes and their discrete approximations (2015)Bounds for expected maxima of…Piterbarg theorems for chi-processes with trend (2014)Piterbarg theorems for chi-pr…Sojourns and Extremes of Gaussian Processes (1974)Extreme Values and High Boundary Crossings of Locally Stationary Gaussian Processes (1990)Extremes of Gaussian processes over an infinite horizon (2004)Fractional Brownian Motions, Fractional Noises and Applications (1968)Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence (1969)Statistical Methods for Data with Long-Range Dependence (1992)Simulation of Stationary Gaussian Processes in [0, 1]d (1994)Fractal analyses for ‘short’ time series: A re-assessment of classical methods (2006)Extreme values and crossings for theX2-Process and Other Functions of Multidimensional Gaussian Processes, by Reliability Applications (1980)On Extremal Theory for Stationary Processes (1990)A storage model with self-similar input (1994)Extremes of a certain class of Gaussian processes (1999)Exact overflow asymptotics for queues with many Gaussian inputs (2003)Brownian Excursions and Parisian Barrier Options (1997)Modelling Extremal Events (1997)Ruin Probabilities (2010)Corrected diffusion approximations in certain random walk problems (1979)Stochastic Calculus for Fractional Brownian Motion and Related Processes (2008)Fractional Ornstein-Uhlenbeck Process with Stochastic Forcing, and its Applications (2019)Extremes and local dependence in stationary sequences (1983)Models for Stationary Max-Stable Random Fields (2002)Conditioning on One-Step Survival for Barrier Option Simulations (2001)Heavy Traffic Limits for Queues with Many Deterministic Servers (2004)A Factorisation of Diffusion Measure and Finite Sample Path Constructions (2008)
this work references cited by second hop

References

  • 1987Tests for Hurst Effect544 cited
  • 1995Discretization Error in Simulation of One-Dimensional Reflecting Brownian Motion127 cited
  • 2002Ruin probability for Gaussian integrated processes100 cited

Cited by

  • 2017Generalized Pickands constants and stationary max-stable processes41 cited
  • 2015Extremes of vector-valued Gaussian processes: Exact asymptotics38 cited
  • 2015Bounds for expected maxima of Gaussian processes and their discrete approximations36 cited
  • 2014Piterbarg theorems for chi-processes with trend34 cited
  • 2015Parisian ruin of self-similar Gaussian risk processes34 cited

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