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Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals
8 references·0 citing·22 second hop
Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals (2014)Tail asymptotics of supremum of certain G…On the supremum of γ -reflected processes with fractional Brownian motion as input (2013)On the supremum of γ -reflect…An Introduction to Heavy-Tailed and Subexponential Distributions (2013)An Introduction to Heavy-Tail…Asymptotics of supremum distribution of a Gaussian process over a Weibullian time (2011)Asymptotics of supremum distr…Tail Asymptotics of the Supremum of a Regenerative Process (2007)Tail Asymptotics of the Supre…Time Changes for Lévy Processes (2001)Time Changes for Lévy Process…Extremes of a certain class of Gaussian processes (1999)Extremes of a certain class o…Self‐similar processes in collective risk theory (1998)Self‐similar processes in col…Extreme Values, Regular Variation and Point Processes (1987)Extreme Values, Regular Varia…Applied Probability and Queues (1987)Continuous Martingales and Brownian Motion (1999)Applied Probability and Queues (2003)Fractional Brownian Motions, Fractional Noises and Applications (1968)Weak convergence to fractional brownian motion and to the rosenblatt process (1975)On tail probabilities and first passage times for fractional Brownian motion (1999)Extremes and related properties of random sequences and processes (1984)Brownian Motion and Stochastic Flow Systems. (1987)Stochastic-process limits : an introduction to stochastic-process limits and their application to queues (2002)Microeconomic Origins of Macroeconomic Tail Risks (2015)Microeconomic Origins of Macroeconomic Tail Risks (2016)A model framework for discovering the spatio-temporal usage patterns of public free-floating bike-sharing system (2019)Modelling of extremal events in insurance and finance (1994)Extreme Correlation of International Equity Markets (2001)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)The application of continuous-time random walks in finance and economics (2005)Properties of Realized Variance Under Alternative Sampling Schemes (2006)Optimal Trading with Stochastic Liquidity and Volatility (2012)Ruin probability for Gaussian integrated processes (2002)Extremes of Gaussian processes over an infinite horizon (2004)On the ruin probability for physical fractional Brownian motion (2004)Extremes and products of multivariate AC-product risks (2013)
this work references cited by second hop

References

  • 1987Extreme Values, Regular Variation and Point Processes3,165 cited
  • 2013An Introduction to Heavy-Tailed and Subexponential Distributions537 cited
  • 2001Time Changes for Lévy Processes231 cited
  • 1999Extremes of a certain class of Gaussian processes146 cited
  • 2011Asymptotics of supremum distribution of a Gaussian process over a Weibullian time52 cited
  • 1998Self‐similar processes in collective risk theory41 cited
  • 2007Tail Asymptotics of the Supremum of a Regenerative Process40 cited
  • 2013On the supremum of γ -reflected processes with fractional Brownian motion as input39 cited

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