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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Exit problems and extremes of stochastic processes in view towards stochastic modelling

2015/17/B/ST1/01102

Keywords:

exit time Levy process Gaussian process reflected process supremum

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: 5

Call: OPUS 9 - announced on 2015-03-16

Amount awarded: 483 920 PLN

Project start date (Y-m-d): 2016-02-15

Project end date (Y-m-d): 2019-08-14

Project duration:: 42 months (the same as in the proposal)

Project status: Project settled

Project description

Download the project description in a pdf file

Note - project descriptions were prepared by the authors of the applications themselves and placed in the system in an unchanged form.

Equipment purchased [PL]

  1. Laptopy (20 000 PLN)

Information in the final report

  • Publication in academic press/journals (33)
  • Book publications / chapters in book publications (1)
  1. A note on optimal expected utility of dividend payments with proportional reinsurance
    Authors:
    X. Liang, Z. Palmowski
    Academic press:
    Scandinavian Actuarial Journal (rok: 2018, tom: 2018 (4), strony: 275-293), Wydawca: Taylor and Francis
    Status:
    Published
    DOI:
    10.1080/03461238.2017.1343748 - link to the publication
  2. An Erdös–Révész Type Law of the Iterated Logarithm for Order Statistics of a Stationary Gaussian Proces
    Authors:
    Dębicki, K., Kosiński, K.M
    Academic press:
    Journal of Theoretical Probability (rok: 2018, tom: 31, strony: 579–597), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s10959-016-0710-8 - link to the publication
  3. Approximation of Sojourn Times of Gaussian Processes
    Authors:
    K Dębicki, Z Michna, X Peng,
    Academic press:
    Methodology and Computing in Applied Probability (rok: 2019, tom: 21, strony: 1183–1213), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s11009-018-9667-7 - link to the publication
  4. Extremes of Gaussian random fields with regularly varying dependence structure
    Authors:
    Dȩbicki, K., Hashorva, E. & Liu, P.
    Academic press:
    Extremes (rok: 2017, tom: 20, strony: 333-392), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s10687-016-0276-y - link to the publication
  5. Fluctuation theory for level-dependent Lévy risk processes
    Authors:
    Irmina Czarna, José-Luis Pérez, Tomasz Rolski, Kazutoshi Yamazaki
    Academic press:
    Stochastic Processes and their Applications (rok: 2019, tom: 129 (12), strony: 5406-5449), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1016/j.spa.2019.03.006 - link to the publication
  6. Generalized Pickands constants and stationary max-stable processes
    Authors:
    Dȩbicki, K., Engelke, S. & Hashorva, E.
    Academic press:
    Extremes (rok: 2017, tom: 20, strony: 493-517), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s10687-017-0289-1 - link to the publication
  7. On Generalised Piterbarg Constants
    Authors:
    Long Bai, Krzysztof Dȩbicki, Enkelejd Hashorva
    Academic press:
    Methodology and Computing in Applied Probability (rok: 2018, tom: 20, strony: 137-164), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s11009-016-9537-0 - link to the publication
  8. Pricing insurance drawdowns-type contracts with underlying Lévy assets
    Authors:
    Zbigniew Palmowski, Joanna Tumilewicz
    Academic press:
    Insurance: Mathematics and Economics (rok: 2018, tom: 79, strony: 45305), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.insmatheco.2017.12.007 - link to the publication
  9. The time of ultimate recovery in Gaussian risk model
    Authors:
    K Dębicki, P Liu
    Academic press:
    Extremes (rok: 2019, tom: 22, strony: 499–521), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1007/s10687-019-00343-5 - link to the publication
  10. Uniform tail approximation of homogenous functionals of Gaussian fields
    Authors:
    KRZYSZTOF DĘBICKI, ENKELEJD HASHORVA, PENG LIU
    Academic press:
    Advances in Applied Probability (rok: 2017, tom: 49, strony: 1037-1066), Wydawca: Applied Probability Trust
    Status:
    Published
    DOI:
    10.1017/apr.2017.33 - link to the publication
  11. Detekcja zmiany dryfu w modelowaniu natężenia śmiertelności
    Authors:
    Michał Krawiec, Zbigniew Palmowski
    Academic press:
    Śląski Przegląd Statystyczny (rok: 2017, tom: 15 (21), strony: 147-167), Wydawca: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
    Status:
    Published
    DOI:
    10.15611/sps.2017.15.071 - link to the publication
  12. On extremal index of max-stable stationary processes
    Authors:
    K Dębicki, E Hashorva
    Academic press:
    Probability and Mathematical Statistics (rok: 2017, tom: 37, strony: 299-317), Wydawca: Uniwersytet Wrocławski, Politechnika Wrocławska
    Status:
    Published
    DOI:
    10.19195/0208-4147.37.2.6 - link to the publication
  13. Ruin probabilities with dependence on the number of claims within a fixed time window
    Authors:
    C. Constantinescu, S. Dai, W. Ni, Z. Palmowski
    Academic press:
    Risks (rok: 2016, tom: 4(2), strony: 45314), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/risks4020017 - link to the publication
  14. Two-dimensional ruin probability for subexponential claim size
    Authors:
    S Foss, D Korshunov, Z Palmowski, T Rolski
    Academic press:
    Probability and Mathematical Statistics (rok: 2017, tom: 37, strony: 177--189), Wydawca: Uniwersytet Wrocławski, Politechnika Wrocławska
    Status:
    Published
    DOI:
    10.19195/0208-4147.37.2.7 - link to the publication
  15. Yaglom limit for stable processes in cones
    Authors:
    Krzysztof Bogdan, Zbigniew Palmowski, Longmin Wang
    Academic press:
    Electronic Journal of Probability (rok: 2018, tom: 23, strony: 45310), Wydawca: UNIVERSITY OF WASHINGTON
    Status:
    Published
    DOI:
    10.1214/18-EJP133 - link to the publication
  16. Approximation of Supremum of Max-Stable Stationary Processes and Pickands Constants
    Authors:
    K Dębicki, E Hashorva
    Academic press:
    Journal of Theoretical Probability (rok: 2019, tom: 33, strony: 444-464), Wydawca: ISI
    Status:
    Published
    DOI:
    10.1007/s10959-018-00876-8 - link to the publication
  17. Extremal behavior of hitting a cone by correlated Brownian motion with drift
    Authors:
    Krzysztof Dȩbicki, Enkelejd Hashorva, Lanpeng Ji, Tomasz Rolski
    Academic press:
    Stochastic Processes and their Applications (rok: 2018, tom: 128 (12), strony: 4171-4206), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1016/j.spa.2018.02.002 - link to the publication
  18. Extremes of nonstationary Gaussian fluid queues
    Authors:
    K Dębicki, P Liu
    Academic press:
    Advances in Applied Probability (rok: 2018, tom: 50, strony: 887-917), Wydawca: Cambridge University Press
    Status:
    Published
    DOI:
    10.1017/apr.2018.40 - link to the publication
  19. Extremes of randomly scaled Gumbel risks
    Authors:
    K Dȩbicki, J Farkas, E Hashorva
    Academic press:
    ournal of Mathematical Analysis and Applications (rok: 2018, tom: 458, strony: 30-42), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.jmaa.2017.08.055 - link to the publication
  20. Extremes of vector-valued Gaussian processes with Trend
    Authors:
    L Bai, K Dębicki, P Liu
    Academic press:
    Journal of Mathematical Analysis and Applications (rok: 2018, tom: 465, strony: 47-74), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.jmaa.2018.04.069 - link to the publication
  21. Insurance drawdowns-type contracts for a phase-type risk process perturbed by Brownian motion
    Authors:
    Zbigniew Palmowski, Joanna Tumilewicz
    Academic press:
    Śląski Przegląd Statystyczny (rok: 2017, tom: 15 (21), strony: 201-225), Wydawca: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
    Status:
    Published
    DOI:
    10.15611/sps.2017.15.10 - link to the publication
  22. Logarithmic Asymptotics for Probability of Component-Wise Ruin in a Two-Dimensional Brownian Model
    Authors:
    Krzysztof Dębicki, Lanpeng Ji, Tomasz Rolski
    Academic press:
    Risks (rok: 2019, tom: 7 (3), strony: 45312), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/risks7030083 - link to the publication
  23. Matrix geometric approach for random walks: stability condition and equilibrium distribution
    Authors:
    S. Kapodistria, Z. Palmowski
    Academic press:
    Stochastic Models (rok: 2017, tom: 33, strony: 572-597), Wydawca: Taylor and Francis
    Status:
    Published
    DOI:
    10.1080/15326349.2017.1359096 - link to the publication
  24. Optimality of impulse control problem in refracted Lévy model with Parisian ruin and transaction costs
    Authors:
    Irmina Czarna, Adam Kaszubowski
    Academic press:
    Journal of Optimization Theory and Applications (rok: 2020, tom: 185, strony: 982-1007), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s10957-020-01682-1 - link to the publication
  25. Extremes of Multi-type Branching Random Walks: Heaviest Tail Wins
    Authors:
    A. Bhattacharya, K. Maulik, Z. Palmowski, P. Roy
    Academic press:
    Advances in Applied Probability (rok: 2019, tom: 51, strony: 514-540), Wydawca: Applied Probability Trust
    Status:
    Published
    DOI:
    10.1017/apr.2019.20 - link to the publication
  26. Extremes of threshold-dependent Gaussian processes
    Authors:
    L Bai, K Dębicki, E Hashorva, L Ji
    Academic press:
    SCIENCE CHINA Mathematics (rok: 2018, tom: 61, strony: 1971–2002), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s11425-017-9225-7 - link to the publication
  27. Fair valuation of Levy-type drawdown-drawup contracts with general insured and penalty functions
    Authors:
    Z. Palmowski, J. Tumilewicz
    Academic press:
    Applied Mathematics and Optimization (rok: 2020, tom: 81, strony: 301-347), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s00245-018-9492-y - link to the publication
  28. Fluctuation identities for omega-killed Markov additive processes and dividend problem
    Authors:
    Irmina Czarna, Adam Kaszubowski, Shu Li, Zbigniew Palmowski
    Academic press:
    Applied Probability Journals (rok: 2020, tom: 52, strony: 404-432), Wydawca: Applied Probability Trust
    Status:
    Published
    DOI:
    10.1017/apr.2020.2 - link to the publication
  29. Lévy-driven GPS queues with heavy-tailed input
    Authors:
    Krzysztof Dȩbicki, Peng Liu, Michel Mandjes, Iwona Sierpińska-Tułacz
    Academic press:
    Queueing Systems (rok: 2017, tom: 85, strony: 249-267), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s11134-016-9510-1 - link to the publication
  30. Simultaneous Ruin Probability for Two-Dimensional Brownian Risk Model
    Authors:
    Krzysztof Dȩbicki, Enkelejd Hashorva, Zbigniew Michna
    Academic press:
    Journal of Applied Probability (rok: 2020, tom: 57 (2), strony: 597-612), Wydawca: Cambridge University Press
    Status:
    Published
    DOI:
    10.1017/jpr.2020.14 - link to the publication
  31. A note on chaotic and predictable representations for Itô-Markov additive processes
    Authors:
    Zbigniew Palmowski, Łukasz Stettner, Anna Sulima
    Academic press:
    Stochastic Analysis and Applications (rok: 2018, tom: 36, strony: 622-638), Wydawca: Taylor and Francis
    Status:
    Published
    DOI:
    10.1080/07362994.2018.1434417 - link to the publication
  32. An Erdös–Révész type law of the iterated logarithm for reflected fractional Brownian motion
    Authors:
    K Dębicki, KM Kosiński
    Academic press:
    Extremes (rok: 2017, tom: 20, strony: 729-749), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s10687-017-0296-2 - link to the publication
  33. On the Optimal Dividend Problem in the Dual Models with Surplus-Dependent Premiums
    Authors:
    Ewa Marciniak, Zbigniew Palmowski
    Academic press:
    Journal of Optimization Theory and Applications (rok: 2018, tom: 179(2), strony: 533-552), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s10957-016-1050-7 - link to the publication
  1. The exact asymptotics for hitting probability of a remote orthant by a multivariate Levy process: the Cramer case
    Authors:
    K. Borovkov, Z. Palmowski
    Book:
    2017 MATRIX Annals (rok: 2019, tom: 2, strony: 303-309), Wydawca: Springer
    Status:
    Published

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