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Information on the principal investigator and host institution

Information of the project and the call

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Excursions of vector-valued Gaussian stochastic processes: exact asymptotics

2018/31/B/ST1/00370

Keywords:

exit probability supremum sojourn time Gaussian process

Descriptors:

  • ST1_13:

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 Grzegorz Dębicki 

Number of co-investigators in the project: 3

Call: OPUS 16 - announced on 2018-09-14

Amount awarded: 377 040 PLN

Project start date (Y-m-d): 2019-07-24

Project end date (Y-m-d): 2024-07-23

Project duration:: 60 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.

Information in the final report

  • Publication in academic press/journals (6)
  1. Exact asymptotics of component-wise extrema of two-dimensional Brownian motion
    Authors:
    K. Dębicki, L. Ji, T. Rolski
    Academic press:
    Extremes (rok: 2020, tom: 23, strony: 569–602), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s10687-020-00387-y - link to the publication
  2. Probability of entering an orthant by correlated fractional Brownian motion with drift: exact asymptotics
    Authors:
    Krzysztof Dębicki, Lanpeng Ji, Svyatoslav Novikov
    Academic press:
    Extremes (rok: 2024, tom: 27, strony: 613–641), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s10687-024-00489-x - link to the publication
  3. Extremes of vector-valued Gaussian processes
    Authors:
    K. Dębicki, E. Hashorva, L. Wang
    Academic press:
    Stochastic Processes and their Applications (rok: 2020, tom: 130, strony: 5802-5837), Wydawca: Elsevier
    Status:
    Published
    DOI:
    10.1016/j.spa.2020.04.008 - link to the publication
  4. Proportional reinsurance for fractional Brownian risk model
    Authors:
    K. Kępczyński
    Academic press:
    Silesian Statistical Review (rok: 2020, tom: 18, strony: 149-162), Wydawca: Uniwersytet Ekonomiczny we Wrocławiu
    Status:
    Published
    DOI:
    10.15611/sps.2020.18.08 - link to the publication
  5. Running supremum of Brownian motion in dimension 2: exact and asymptotic results
    Authors:
    Krzysztof Kępczyński
    Academic press:
    Stochastic Modles (rok: 2022, tom: 38, strony: 116-129), Wydawca: Taylor & Francis
    Status:
    Published
    DOI:
    10.1080/15326349.2021.1982395 - link to the publication
  6. Derivative of the expected supremum of fractional Brownian motion at H=1
    Authors:
    Krzysztof Bisewski, Krzysztof Dȩbicki, Tomasz Rolski
    Academic press:
    Queueing Systems (rok: 2022, tom: 102, strony: 53-68), Wydawca: Springer US
    Status:
    Published
    DOI:
    10.1007/s11134-022-09859-3 - link to the publication

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