Approximation of Passage Times of γ-Reflected Processes with FBM Input

On asymptotic constants in the theory of extremes for Gaussian processes

(2014) A.B. Dieker et al.   BERNOULLI

Convolution equivalent Lévy processes and first passage times

(2013) Philip S. Griffin   ANNALS OF APPLIED PROBABILITY

Finite time ruin probabilities for tempered stable insurance risk processes

(2013) Philip S. Griffin et al.   INSURANCE MATHEMATICS & ECONOMICS

On the supremum of γ -reflected processes with fractional Brownian motion as input

(2013) Enkelejd Hashorva et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

Path decomposition of ruinous behavior for a general Lévy insurance risk process

(2012) Philip S. Griffin et al.   ANNALS OF APPLIED PROBABILITY

Open problems in Gaussian fluid queueing theory

(2011) K. Dȩbicki et al.   QUEUEING SYSTEMS

Extremes of the time-average of stationary Gaussian processes

(2011) Krzysztof Dȩbicki et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

Conditional limit theorems for regulated fractional Brownian motion

(2009) Hernan Awad et al.   ANNALS OF APPLIED PROBABILITY

On first and last ruin times of Gaussian processes

(2008) Jürg Hüsler et al.   STATISTICS & PROBABILITY LETTERS

A limit theorem for the time of ruin in a Gaussian ruin problem

(2007) Jürg Hüsler et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS