Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

Equipment

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Functionals of reflected Gaussian and Lévy processes: asymptotic properties

2011/01/B/ST1/01521

Keywords:

asymptotics supremum Gaussian process Lévy process

Descriptors:

  • 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. Krzysztof Dębicki 

Number of co-investigators in the project: 3

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

Amount awarded: 229 500 PLN

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

Project end date (Y-m-d): 2013-12-31

Project duration:: 25 months (the same as in the proposal)

Project status: Project settled

Equipment purchased [PL]

  1. Dell Latitude e6430 (5 000 PLN)
  2. Notebook Samsung Galaxy Note 10.1 N8000 (5 000 PLN)
  3. Notebook Lenovo Helix (6 918 PLN)

Information in the final report

  • Publication in academic press/journals (15)
  1. A Note on Wiener–Hopf Factorization for Markov Additive Processes
    Authors:
    P. Klusik, Z. Palmowski
    Academic press:
    Journal of Theoretical Probability (rok: 2014, tom: 27, strony: 202-219), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s10959-012-0425-4 - link to the publication
  2. Transient analysis of Lévy-driven tandem queues
    Authors:
    K. Dębicki, M. Mandjes, I. Sierpińska
    Academic press:
    Statistics and Probability Letters (rok: 2013, tom: 83, strony: 1776-1781), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.spl.2013.03.028 - link to the publication
  3. Tail Asymptotics of Supremum of Certain Gaussian Processes over Threshold Dependent Random Intervals
    Authors:
    K. Dębicki, E. Harshova, L. Ji
    Academic press:
    Extremes (rok: 2014, tom: nie dotyczy, strony: nie dotyczy), Wydawca: Springer
    Status:
    Accepted for publication
    DOI:
    nie - link to the publication
  4. A Continuous time model for claims reserving
    Authors:
    T. Rolski, A. Tomanek
    Academic press:
    ASTIN Bulletin (rok: 2013, tom: nie dotyczy, strony: nie dotyczy), Wydawca: Cambridge University Press
    Status:
    Submitted
    DOI:
    nie - link to the publication
  5. On the probability of conjunctions of stationary Gaussian processes
    Authors:
    K. Dębicki, E. Hashorva, L. Ji, K. Tabiś
    Academic press:
    Statistica and Probability Letters (rok: 2014, tom: 88, strony: 141-148), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.spl.2014.02.004 - link to the publication
  6. Gaussian Risk Models with Financial Constrains
    Authors:
    K. Dębicki, Enkelejd Hashorva, Lanpeng Ji
    Academic press:
    Scandinavian Actuarial Journal (rok: 2014, tom: nie dotyczy, strony: nie dotyczy), Wydawca: Taylor and Francis
    Status:
    Accepted for publication
    DOI:
    nie - link to the publication
  7. Gaussian approximations of perturbed Chi-squared risks
    Authors:
    K. Dębicki, E. Hashorva, L. Ji
    Academic press:
    Statistics and its Interface (rok: 2013, tom: nie dotyczy, strony: nie dotyczy), Wydawca: International Press
    Status:
    Accepted for publication
    DOI:
    nie - link to the publication
  8. Heavy-tailed branching process with immigration
    Authors:
    B. Basrak, R. Kulik, Z. Palmowski
    Academic press:
    Stochastic Models (rok: 2013, tom: 29, 4, strony: 413-434), Wydawca: Taylor and Francis
    Status:
    Published
    DOI:
    10.1080/15326349.2013.838508 - link to the publication
  9. Loss Rates for Stochastic Fluid Models
    Authors:
    M. O'Reilly, Z. Palmowski
    Academic press:
    Performance Evaluation (rok: 2013, tom: 70, strony: 593-606), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.peva.2013.05.005 - link to the publication
  10. Lévy input fluid queue with input and workload regulation
    Authors:
    M. Vlasiou, Z. Palmowski, B. Zwart
    Academic press:
    Queueing Systems (rok: 2014, tom: 76(1), strony: 21-36), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s11134-013-9358-6 - link to the publication
  11. Occupation densities in solving exit problems for Markov additive processes and their reflections.
    Authors:
    J. Ivanovs, Z. Palmowski
    Academic press:
    Stochastic Processes and their Applications (rok: 2012, tom: 122, strony: 3342-3360), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.spa.2012.05.016 - link to the publication
  12. On Time Reversal of Piecewise Deterministic Markov Processes
    Authors:
    A. Löpker, Z. Palmowski
    Academic press:
    Electronic Journal of Probability (rok: 2013, tom: 18, strony: 45320), Wydawca: Institute of Mathematical Statistics (IMS) and the Bernoulli Society
    Status:
    Published
    DOI:
    10.1214/EJP.v18-1958 - link to the publication
  13. Extremes of homogeneous Gaussian random fields
    Authors:
    K. Dębicki, E. Hashorva, N. Soja-Kukieła
    Academic press:
    Journal of Applied Probability (rok: 2014, tom: nie dotyczy, strony: nie dotyczy), Wydawca: Applied Probability Trust
    Status:
    Accepted for publication
    DOI:
    nie - link to the publication
  14. Random scaling of Gaussian risks
    Authors:
    K. Dębicki, J. Farkas, E. Hashorva
    Academic press:
    Extremes (rok: 2013, tom: nie dotyczy, strony: nie dotyczy), Wydawca: Springer
    Status:
    Submitted
    DOI:
    nie - link to the publication
  15. Service-Time Ages and Residulas in the M/G/oo Service Systems
    Authors:
    T. Rolski, R.Serfozo, D.Stoyan
    Academic press:
    Queueing Systems (rok: 2013, tom: nie dotyczy, strony: nie dotyczy), Wydawca: Springer
    Status:
    Submitted
    DOI:
    nie - link to the publication

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