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 times: omega clock, Markov additive processes, branching mechanism and quasi-stationary measures

2018/29/B/ST1/00756

Keywords:

L'evy process branching process exit time quasi-stationary distribution optimal stopping problems

Descriptors:

  • ST1_13: Probability and statistics
  • ST1_17: Applied mathematics
  • ST1_18: Control theory and optimisation

Panel:

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

Host institution :

Politechnika Wrocławska

woj. dolnośląskie

Other projects carried out by the institution 

Principal investigator (from the host institution):

prof. Zbigniew Palmowski 

Number of co-investigators in the project: 3

Call: OPUS 15 - announced on 2018-03-15

Amount awarded: 557 400 PLN

Project start date (Y-m-d): 2019-02-01

Project end date (Y-m-d): 2023-09-30

Project duration:: 56 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. Urządzenie wielofunkcyjne (drukarka) (1 400 PLN)
  2. Notebook (6 500 PLN)

Information in the final report

  • Publication in academic press/journals (20)
  1. On Busy Periods of the Critical GI/G/1 Queue and BRAVO
    Authors:
    Y. Nazarathy, Z. Palmowski
    Academic press:
    Queueing Systems (rok: 2022, tom: 102, strony: 219-225), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s11134-022-09858-4 - link to the publication
  2. First exit time for a discrete time parallel queue
    Authors:
    Zbigniew Palmowski
    Academic press:
    Queueing Systems (rok: 2022, tom: 100, strony: 329-331), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s11134-022-09744-z - link to the publication
  3. How much we gain by surplus-dependent premiums -- asymptotic analysis of ruin probability
    Authors:
    Jing Wang, Zbigniew Palmowski, Corina Constantinescu
    Academic press:
    Risks (rok: 2021, tom: 9, strony: 157), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/risks9090157 - link to the publication
  4. Importance sampling for maxima on trees
    Authors:
    B. Basrak, M. Conroy, M. Olvera-Cravioto, Z. Palmowski
    Academic press:
    Stochastic Processes and their Applications (rok: 2022, tom: 148, strony: 139-179), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.spa.2022.02.005 - link to the publication
  5. Speed of convergence to the quasi-stationary distribution for Lévy input fluid queues
    Authors:
    Z. Palmowski, M. Vlasiou
    Academic press:
    Queueing Systems (rok: 2020, tom: 96(1-2), strony: 153-167), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s11134-020-09664-w - link to the publication
  6. Large deviations of extremes in branching random walk with regularly varying displacements
    Authors:
    Ayan Bhattacharya
    Academic press:
    Bernoulli (rok: 2023, tom: 29(2), strony: 1007-1034), Wydawca: Bernoulli Society
    Status:
    Published
    DOI:
    10.3150/22-BEJ1488 - link to the publication
  7. Multivariate Lévy-type drift change detection and mortality modeling
    Authors:
    Michał Krawiec i Zbigniew Palmowski
    Academic press:
    European Actuarial Journal (rok: 2023, tom: Brak, strony: Brak), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s13385-023-00350-8 - link to the publication
  8. Persistence of heavy-tailed sample averages: principle of infinitely many big jumps
    Authors:
    A. Bhattacharya, Z. Palmowski, B. Zwart
    Academic press:
    Electronic Journal of Probability (rok: 2022, tom: 27, strony: 45316), Wydawca: Institute of Mathematical Statistics
    Status:
    Published
    DOI:
    10.1214/22-EJP774 - link to the publication
  9. Yaglom limit for Stochastic Fluid Models
    Authors:
    N. Bean, M. O'Reilly, Z. Palmowski
    Academic press:
    Applied Probability Journals (rok: 2021, tom: 53(3), strony: 649-686), Wydawca: Cambridge University Press
    Status:
    Published
    DOI:
    10.1017/apr.2020.71 - link to the publication
  10. Moments of exponential functionals of Lévy processes on a deterministic horizon – identities and explicit expressions
    Authors:
    Zbigniew Palmowski, Hristo Sariev, Mladen Savov
    Academic press:
    Bernoulli (rok: 2023, tom: Brak, strony: Brak), Wydawca: Bernoulli Society
    Status:
    Accepted for publication
    DOI:
    Brak - link to the publication
  11. A dual risk model with additive and proportional gains: ruin probability and dividends
    Authors:
    Onno Boxma , Esther Frostig, Zbigniew Palmowski
    Academic press:
    Advances in Applied Probability (rok: 2023, tom: 55, strony: 549–580), Wydawca: Cambridge University Press
    Status:
    Published
    DOI:
    10.1017/apr.2022.36 - link to the publication
  12. Slower variation of the generation sizes induced by heavy-tailed environment for geometric branching
    Authors:
    A. Bhattacharya, Z. Palmowski
    Academic press:
    Statistics and Probability Letters (rok: 2019, tom: 154, strony: 108550), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.spl.2019.06.026 - link to the publication
  13. Consistency of the PLFit estimator for power-law data
    Authors:
    A. Bhattacharya, B. Chen, R. van der Hofstad, B. Zwart
    Academic press:
    Annals of Statistics , Wydawca: Institute of Mathematical Statistics
    Status:
    Submitted
    DOI:
    brak - link to the publication
  14. A Multiplicative Version of the Lindley Recursion
    Authors:
    O. Boxma, A. Lopker, M. Mandjes, Z. Palmowski
    Academic press:
    Queueing Systems (rok: 2021, tom: 98, strony: 225-245), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s11134-021-09698-8 - link to the publication
  15. Branching processes with immigration in atypical random environment
    Authors:
    Sergey Foss, Dmitry Korshunov, Zbigniew Palmowski
    Academic press:
    Extremes (rok: 2022, tom: 25, strony: 55–77), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s10687-021-00427-1 - link to the publication
  16. Matrix-analytic methods for the analysis of stochastic fluid-fluid models
    Authors:
    N. Bean, M. O'Reilly, Z. Palmowski
    Academic press:
    Stochastic Models (rok: 2022, tom: 38(3), strony: 416-461), Wydawca: Taylor and Francis
    Status:
    Published
    DOI:
    10.1080/15326349.2022.2049823 - link to the publication
  17. Ruin probabilities for risk process in a regime-switching environment
    Authors:
    Zbigniew Palmowski
    Academic press:
    Scandinavian Actuarial Journal (rok: 2022, tom: 7, strony: 565-590), Wydawca: Taylor and Francis
    Status:
    Published
    DOI:
    10.1080/03461238.2021.1998923 - link to the publication
  18. Subexponential potential asymptotics with applications
    Authors:
    V. Knopova, Z. Palmowski
    Academic press:
    Advances in Applied Probability (rok: 2022, tom: 54(3), strony: 783-807), Wydawca: Cambridge University Press
    Status:
    Published
    DOI:
    10.1017/apr.2021.49 - link to the publication
  19. Unified approach for solving exit problems for additive-increase and multiplicative-decrease processes
    Authors:
    R. van der Hofstad, S. Kapodistria, Z. Palmowski, S. Shneer
    Academic press:
    Journal of Applied Probability (rok: 2023, tom: 60(1), strony: 85-105), Wydawca: Cambridge University Press
    Status:
    Published
    DOI:
    10.1017/jpr.2022.27 - link to the publication
  20. Extreme positions of regularly varying branching random walk in random and time-inhomogeneous environment
    Authors:
    Ayan Bhattacharya, Zbigniew Palmowski
    Academic press:
    Bernoulli (rok: 2023, tom: Brak, strony: Brak), Wydawca: Bernoulli Society
    Status:
    Submitted
    DOI:
    Brak - link to the publication

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