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On Generalised Piterbarg Constants
15 references·0 citing·34 second hop
On Generalised Piterbarg Constants (2017)On Generalised Piterbarg ConstantsUniform tail approximation of homogenous functionals of Gaussian fields (2017)Uniform tail approximation of…Extremes of vector-valued Gaussian processes: Exact asymptotics (2015)Extremes of vector-valued Gau…Piterbarg theorems for chi-processes with trend (2014)Piterbarg theorems for chi-pr…On asymptotic constants in the theory of extremes for Gaussian processes (2014)On asymptotic constants in th…Stationary max-stable fields associated to negative definite functions (2009)Stationary max-stable fields …Spectral representations of sum- and max-stable processes (2009)Spectral representations of s…A note on upper estimates for Pickands constants (2008)A note on upper estimates for…Laws of Small Numbers: Extremes and Rare Events (2004)Laws of Small Numbers: Extrem…Simulation of the Asymptotic Constant in Some Fluid Models (2003)Simulation of the Asymptotic …Exact overflow asymptotics for queues with many Gaussian inputs (2003)Exact overflow asymptotics fo…On tail probabilities and first passage times for fractional Brownian motion (1999)On tail probabilities and fir…Extremes of a certain class of Gaussian processes (1999)Extremes of a certain class o…Bounds and estimators of a basic constant in extreme value theory of Gaussian processes (1996)Bounds and estimators of a ba…Extreme values of the cyclostationary Gaussian random process (1993)Extreme values of the cyclost…On Extremal Theory for Stationary Processes (1990)On Extremal Theory for Statio…Sojourns and Extremes of Gaussian Processes (1974)Extremes of Gaussian processes over an infinite horizon (2004)Extreme Values, Regular Variation and Point Processes (1987)Extreme value theory : an introduction (2006)Extreme Value Theory : An Introduction (2006)Extreme events: dynamics, statistics and prediction (2011)Space–Time Modelling of Extreme Events (2013)Statistics of Extremes (2015)Tests for Hurst Effect (1987)Discretization Error in Simulation of One-Dimensional Reflecting Brownian Motion (1995)Ruin probability for Gaussian integrated processes (2002)Bounds for expected maxima of Gaussian processes and their discrete approximations (2015)Generalized Pickands constants and stationary max-stable processes (2017)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Stochastic Theory of a Data-Handling System with Multiple Sources (1982)Brownian Motion and Stochastic Calculus (1998)Parisian ruin of self-similar Gaussian risk processes (2015)Representations of max-stable processes via exponential tilting (2017)A storage model with self-similar input (1994)Handbook of Brownian Motion — Facts and Formulae (1996)Sample-path large deviations for tandem and priority queues with Gaussian inputs (2005)On the supremum of γ -reflected processes with fractional Brownian motion as input (2013)A Spectral Representation for Max-stable Processes (1984)Models for Stationary Max-Stable Random Fields (2002)Simulation of Brown–Resnick processes (2011)Measures of serial extremal dependence and their estimation (2013)Functional regular variations, Pareto processes and peaks over threshold (2015)Fractional Brownian Motions, Fractional Noises and Applications (1968)Exact asymptotics and limit theorems for supremum of stationary χ -processes over a random interval (2013)Extremes of a class of nonhomogeneous Gaussian random fields (2016)High volatility, thick tails and extreme value theory in value-at-risk estimation (2003)Quantitative models for operational risk: Extremes, dependence and aggregation (2006)Tail risk of contagious diseases (2020)On the ruin probability for physical fractional Brownian motion (2004)
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References

  • 2009Stationary max-stable fields associated to negative definite functions352 cited
  • 2004Laws of Small Numbers: Extremes and Rare Events329 cited
  • 1999Extremes of a certain class of Gaussian processes146 cited
  • 1990On Extremal Theory for Stationary Processes91 cited
  • 2009Spectral representations of sum- and max-stable processes76 cited
  • 2014On asymptotic constants in the theory of extremes for Gaussian processes66 cited
  • 2003Exact overflow asymptotics for queues with many Gaussian inputs49 cited
  • 1996Bounds and estimators of a basic constant in extreme value theory of Gaussian processes47 cited
  • 2015Extremes of vector-valued Gaussian processes: Exact asymptotics38 cited
  • 2003Simulation of the Asymptotic Constant in Some Fluid Models36 cited
  • 1999On tail probabilities and first passage times for fractional Brownian motion36 cited
  • 2008A note on upper estimates for Pickands constants34 cited
  • 2014Piterbarg theorems for chi-processes with trend34 cited
  • 1993Extreme values of the cyclostationary Gaussian random process32 cited
  • 2017Uniform tail approximation of homogenous functionals of Gaussian fields29 cited

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