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Publication in academic press/journals (17)

1. On Berman Functions

   Authors:

   Krzysztof Dębicki, Enkelejd Hashorva, Zbigniew Michna

   Academic press:

   Methodology and Computing in Applied Probability (year: 2024, volume: 1,08472222222222, pages: 46049), Publisher: Springer

   Status:

   Published

   DOI:

   10.1007/s11009-023-10059-6 – link to the publication

2. Derivative of the expected supremum of fractional Brownian motion at H=1

   Authors:

   Krzysztof Bisewski, Krzysztof Dȩbicki, Tomasz Rolski

   Academic press:

   Queueing Systems (year: 2022, volume: 102, pages: 53-68), Publisher: Springer US

   Status:

   Published

   DOI:

   10.1007/s11134-022-09859-3 – link to the publication

3. Simultaneous ruin probability for multivariate Gaussian risk model

   Authors:

   Bisewski Krzysztof, Dębicki Krzysztof, Kriukov Nikolai

   Academic press:

   Stochastic Processes and their Applications (year: 2023, volume: 160, pages: 386-408), Publisher: Springer

   Status:

   Published

   DOI:

   10.1016/j.spa.2023.03.002 – link to the publication

4. Sojourns of fractional Brownian motion queues: transient asymptotics

   Authors:

   Dębicki Krzysztof, Hashorva Enkelejd, Liu Peng

   Academic press:

   Queueing Systems (year: 2023, volume: 105, pages: 139-170), Publisher: Springer

   Status:

   Published

   DOI:

   10.1007/s11134-023-09890-y – link to the publication

5. Running supremum of Brownian motion in dimension 2: exact and asymptotic results

   Authors:

   Krzysztof Kępczyński

   Academic press:

   Stochastic Modles (year: 2022, volume: 38, pages: 116-129), Publisher: Taylor & Francis

   Status:

   Published

   DOI:

   10.1080/15326349.2021.1982395 – link to the publication

6. Bounds for expected supremum of fractional Brownian motion with drift

   Authors:

   Krzysztof Bisewski, Krzysztof Dębicki, Michel Mandjes

   Academic press:

   Journal of Applied Probability (year: 2021, volume: 58, pages: 411-427), Publisher: Cambridge University Press

   Status:

   Published

   DOI:

   10.1017/jpr.2020.98 – link to the publication

7. Sojourns of stationary Gaussian processes over a random interval

   Authors:

   Dębicki Krzysztof, Peng Xiaofan

   Academic press:

   ALEA-Latin Am. J. Probab. Math. (year: 2023, volume: 20, pages: 1017–1039), Publisher: IMS

   Status:

   Published

   DOI:

   10.30757/ALEA.v20-37 – link to the publication

8. Sojourn times of Gaussian and related random fields

   Authors:

   Dębicki Krzysztof, Hashorva Enkelejd, Liu Peng, Michna Zbigniew

   Academic press:

   ALEA-Latin Am. J. Probab. Math. (year: 2023, volume: 20, pages: 249–289), Publisher: IMS

   Status:

   Published

   DOI:

   10.30757/ALEA.v20-10 – link to the publication

9. Probability of entering an orthant by correlated fractional Brownian motion with drift: exact asymptotics

   Authors:

   Krzysztof Dębicki, Lanpeng Ji, Svyatoslav Novikov

   Academic press:

   Extremes (year: 2024, volume: 27, pages: 613–641), Publisher: Springer

   Status:

   Published

   DOI:

   10.1007/s10687-024-00489-x – link to the publication

10. Extremes of reflecting Gaussian processes on discrete grid

    Authors:

    Krzysztof Dębicki, Grigori Jasnovidov

    Academic press:

    Journal of Mathematical Analysis and Applications (year: 2024, volume: 532 (1), pages: 127952), Publisher: Elsevier

    Status:

    Published

    DOI:

    10.1016/j.jmaa.2023.127952 – link to the publication

11. Finite-time ruin probability for correlated Brownian motions

    Authors:

    Krzysztof Dębicki, Enkelejd Hashorva, Konrad Krystecki

    Academic press:

    Scandinavian Actuarial Journal (year: 2021, volume: 2021, pages: 890-915), Publisher: Taylor & Francis

    Status:

    Published

    DOI:

    10.1080/03461238.2021.1902853 – link to the publication

12. On the continuity of pickands constants

    Authors:

    Krzysztof Dębicki , Enkelejd Hashorva, Zbigniew Michna

    Academic press:

    Journal of Applied Probability (year: 2022, volume: 59 (1), pages: 187-201), Publisher: Cambridge University Press

    Status:

    Published

    DOI:

    10.1017/jpr.2021.42 – link to the publication

13. Derivatives of sup-functionals of fractional Brownian motion evaluated at H=1/2

    Authors:

    Krzysztof Bisewski, Krzysztof Dębicki, Tomasz Rolski

    Academic press:

    Electronic Journal of Probability (year: 2022, volume: 27, pages: 12785), Publisher: The Institute of Mathematical Statistics and the Bernoulli Society

    Status:

    Published

    DOI:

    10.1214/22-EJP848 – link to the publication

14. Exact asymptotics of component-wise extrema of two-dimensional Brownian motion

    Authors:

    K. Dębicki, L. Ji, T. Rolski

    Academic press:

    Extremes (year: 2020, volume: 23, pages: 569–602), Publisher: Springer

    Status:

    Published

    DOI:

    10.1007/s10687-020-00387-y – link to the publication

15. Pandemic-type failures in multivariate Brownian risk models

    Authors:

    Krzysztof Dębicki, Enkelejd Hashorva, Nikolai Kriukov

    Academic press:

    Extremes (year: 2022, volume: 25, pages: 46045), Publisher: Springer

    Status:

    Published

    DOI:

    10.1007/s10687-021-00424-4 – link to the publication

16. Proportional reinsurance for fractional Brownian risk model

    Authors:

    K. Kępczyński

    Academic press:

    Silesian Statistical Review (year: 2020, volume: 18, pages: 149-162), Publisher: Uniwersytet Ekonomiczny we Wrocławiu

    Status:

    Published

    DOI:

    10.15611/sps.2020.18.08 – link to the publication

17. Extremes of vector-valued Gaussian processes

    Authors:

    K. Dębicki, E. Hashorva, L. Wang

    Academic press:

    Stochastic Processes and their Applications (year: 2020, volume: 130, pages: 5802-5837), Publisher: Elsevier

    Status:

    Published

    DOI:

    10.1016/j.spa.2020.04.008 – link to the publication