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Sojourns and Extremes of Stochastic Processes
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Sojourns and Extremes of Stochastic Processes (2017)Sojourns and Extremes of Stochastic Proce…On the supremum of γ -reflected processes with fractional Brownian motion as input (2013)On the supremum of γ -reflect…Exact asymptotics and limit theorems for supremum of stationary χ -processes over a random interval (2013)Exact asymptotics and limit t…Tail asymptotics under beta random scaling (2010)Tail asymptotics under beta r…On the residual dependence index of elliptical distributions (2010)On the residual dependence in…Boundary crossings and the distribution function of the maximum of Brownian sheet (2000)Boundary crossings and the di…Extremal Behavior of Diffusion Models in Finance (1998)Extremal Behavior of Diffusio…Extreme Values, Regular Variation and Point Processes (1987)The Asymptotic Theory of Extreme Order Statistics (1990)Extreme value theory : an introduction (2006)Archimedean copulas in finite and infinite dimensions—with application to ruin problems (2011)Limit distributions for the maxima of stationary Gaussian processes (1975)Extremes and related properties of random sequences and processes (1984)Extremal Theory for Stochastic Processes (1988)Detecting non-simultaneous changes in means of vectors (2015)Modelling of extremal events in insurance and finance (1994)Stochastic calculus of variation and hypoelliptic operators (1978)Stochastic calculus of variations and hypoelliptic operators (1978)Brownian Motion and Stochastic Flow Systems. (1987)Stochastic-process limits : an introduction to stochastic-process limits and their application to queues (2002)Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals (2014)Parisian ruin of self-similar Gaussian risk processes (2015)Extremes of a class of nonhomogeneous Gaussian random fields (2016)A Theory of the Term Structure of Interest Rates (1985)Continuous Martingales and Brownian Motion (1999)Brownian Motion and Stochastic Calculus (2007)NONPARAMETRIC STOCHASTIC VOLATILITY (2018)
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  • 2013On the supremum of γ -reflected processes with fractional Brownian motion as input39 cited
  • 2010Tail asymptotics under beta random scaling36 cited
  • 1998Extremal Behavior of Diffusion Models in Finance33 cited
  • 2010On the residual dependence index of elliptical distributions30 cited
  • 2013Exact asymptotics and limit theorems for supremum of stationary χ -processes over a random interval29 cited
  • 2000Boundary crossings and the distribution function of the maximum of Brownian sheet22 cited

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