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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Extremes and risk theory for Gaussian and Levy processes

2013/09/B/ST1/01778

Keywords:

supremum risk functional Gaussian process Levy process branching process random environment

Descriptors:

  • ST1_13: Probability and statistics
  • ST1_19: Other related subjects

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 5 - announced on 2013-03-15

Amount awarded: 265 380 PLN

Project start date (Y-m-d): 2014-02-20

Project end date (Y-m-d): 2016-02-19

Project duration:: 24 months (the same as in the proposal)

Project status: Project settled

Equipment purchased [PL]

  1. Laptopy (16 482 PLN)

Information in the final report

  • Publication in academic press/journals (12)
  1. On the infimum attained by the reflected fractional Brownian motion
    Authors:
    Dębicki, K., Kosiński, K.
    Academic press:
    EXTREMES (rok: 2014, tom: 17, strony: 431-446), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s10687-014-0188-7 - link to the publication
  2. A NOTE ON FIRST PASSAGE PROBABILITIES OF A LEVY PROCESS REFLECTED AT A GENERAL BARRIER
    Authors:
    Palmowski, Z. , Świątek, P.
    Academic press:
    Probability and Mathematical Statistics (rok: 2017, tom: 37(2), strony: 455-469), Wydawca: University of Wroclaw
    Status:
    Published
    DOI:
    10.19195/0208-4147.37.2.13 - link to the publication
  3. EXTREMES OF A CLASS OF NON-HOMOGENEOUS GAUSSIAN RANDOM FIELDS
    Authors:
    Dȩbicki, K., Hashorva, E., Ji, L.
    Academic press:
    Annals of Probability (rok: 2016, tom: 44, strony: 984-1012), Wydawca: Institute of Mathematical Statistics
    Status:
    Published
    DOI:
    10.1214/14-AOP994 - link to the publication
  4. Extremes of stationary Gaussian storage models.
    Authors:
    Dȩbicki, K., Liu, P.
    Academic press:
    Extremes (rok: 2016, tom: 19(2), strony: 273-302), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s10687-016-0240-x - link to the publication
  5. Finite-time Ruin Probability of Aggregate Gaussian Processes
    Authors:
    Dębicki, K., Hashorva, E., Ji, L., Tan, Z.
    Academic press:
    MARKOV PROCESSES AND RELATED FIELDS (rok: 2014, tom: 20, strony: 435-450), Wydawca: Springer
    Status:
    Published
    DOI:
    brak - link to the publication
  6. Extremes of order statistics of stationary processes
    Authors:
    K Dȩbicki, E Hashorva, L Ji, C Ling
    Academic press:
    TEST (rok: 2015, tom: 24, strony: 229-248), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s11749-014-0404-4 - link to the publication
  7. Fluctuations of Omega-killed spectrally negative Levy processes
    Authors:
    Z. Palmowski, B. Li
    Academic press:
    Stochastic Processes and their Applications (rok: 2018, tom: -, strony: -), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.018 - link to the publication
  8. On the optimal dividend problem for insurance risk models with surplus-dependent premiums
    Authors:
    E. Marciniak, Z. Palmowski
    Academic press:
    Journal of Optimization Theory and Applications (rok: 2016, tom: 168, strony: 723-742), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s10957-015-0755-3 - link to the publication
  9. Parisian Ruin of Self-similar Gaussian Risk Processes
    Authors:
    K Dȩbicki, E Hashorva, L Ji
    Academic press:
    Journal of Applied Probability (rok: 2015, tom: 52, strony: 55-67), Wydawca: Applied Probability Trust
    Status:
    Published
    DOI:
    10.1239/jap/1445543840 - link to the publication
  10. The distribution of the supremum for spectrally asymmetric Levy processes
    Authors:
    Michna, Z., Palmowski, Z., Pistorius, M.
    Academic press:
    ELECTRONIC COMMUNICATIONS in PROBABILITY (rok: 2015, tom: 20, strony: 45301), Wydawca: Institute of Mathematical Statistic
    Status:
    Published
    DOI:
    10.1214/ECP.vVOL-PID - link to the publication
  11. Parisian ruin over a finite-time horizon
    Authors:
    K. Dȩbicki, E. Hashorva, L. Ji
    Academic press:
    Science in China Mathematics (rok: 2016, tom: 59, strony: 557-572), Wydawca: Springer
    Status:
    Published
    DOI:
    0.1007/s11425-015-5073-6 - link to the publication
  12. Prediction in a mixed Poisson cluster model
    Authors:
    T. Rolski, M. Matsui
    Academic press:
    Stochastic Models (rok: 2016, tom: -, strony: -), Wydawca: Taylor and Francis
    Status:
    Accepted for publication
    DOI:
    10.1080/15326349.2016.1170614 - link to the publication

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