Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

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Large Deviations and RuinProbabilities for Multivariate Random Iterative Mappings

2011/01/M/ST1/04604

Keywords:

stochastic recursions Lipschitz recursions stationary measures large deviations ruin probabilities ARCH and GARCH models,fractional moments discrete and continuous time perpetuities.

Descriptors:

  • ST1_8: Analysis
  • ST1_13: Probability and statistics

Panel:

ST1 - Mathematics: all areas of mathematics, pure and applied, as well as mathematical foundations of computer science, physics and statistics

Host institution :

Uniwersytet Wrocławski, Wydział Matematyki i Informatyki

woj. dolnośląskie

Other projects carried out by the institution 

Principal investigator (from the host institution):

prof. Ewa Damek 

Number of co-investigators in the project: 7

Call: HARMONIA 1 - announced on 2011-03-15

Amount awarded: 223 600 PLN

Project start date (Y-m-d): 2011-12-01

Project end date (Y-m-d): 2014-11-30

Project duration:: 36 months (the same as in the proposal)

Project status: Project settled

Information in the final report

  • Publication in academic press/journals (4)
  • Book publications / chapters in book publications (1)
  1. Large deviations for solutions to stochastic recurrence equations under Kesten's condition
    Authors:
    D.Buraczewski, E.Damek, J.Zienkiewicz
    Academic press:
    The Annals of Probability (rok: 2013, tom: 41 nr 4, strony: 2755-2790), Wydawca: Institute of Mathematical Statistics
    Status:
    Published
    DOI:
    10.1214/12-AOP782 - link to the publication
  2. On the Kesten-Goldie constant
    Authors:
    D.Buraczewski, E. Damek, J.Zienkiewicz
    Academic press:
    Journal of Difference Equations and Applications (rok: 2016, tom: 0,924305555555556, strony: 1646-1662), Wydawca: Taylor&Francis
    Status:
    Published
    DOI:
    10.1080/10236198.2016.1234613 - link to the publication
  3. On the rate of convergence in the Kesten renewal theorem
    Authors:
    D.Buraczewski, E.Damek, T.Przebinda
    Academic press:
    Elektronic Journal of Probability (rok: 2015, tom: 20, strony: artykuł nr 22, 35 stron), Wydawca: Institute of Mathematical Statistics
    Status:
    Published
    DOI:
    nie - link to the publication
  4. Large deviation estimates for exceedance times of perpetuity sequences and their dual processes
    Authors:
    D. Buraczewski, J.Collamore, E.Damek, J.Zienkiewicz
    Academic press:
    Annals of Probability (rok: 2016, tom: 44(6), strony: 3688-3739), Wydawca: Institute of Mathematical Statistics
    Status:
    Published
    DOI:
    10.1214/15-AOP1059 - link to the publication
  1. nie dotyczy
    Authors:
    D. Buraczewski, E.Damek, T.Mikosch
    Book:
    Stochastic Models with Power-Law Tails. The Equation X= AX+B (rok: 2016, tom: nie dotyczy, strony: 320 stron), Wydawca: Springer http://www.springer.com/series/3182
    Status:
    Published
    DOI:
    link to the publication

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