In analyzing the practical engineering problems involving stochastic processes, a key
component is the estimation of time intervals between the crossings across a specified …

The extreme value distribution (EVD) of stochastic processes is an important but still
challenging problem for the determination of reliability function and distribution of first …

The probability density function (PDF) of the time-variant extreme value process for structural
responses is of great importance. Poisson white noise excitation occurs widely in practical …

The time-variant maximal value process (MVP) of a Markov process has significant
applications in various science and engineering fields. In the present paper, the closed-form …

We derive the exact asymptotics of ℙ sup t≥ 0 X 1 (t)− μ 1 t> u, sup s≥ 0 X 2 (s)− μ 2 s> u,
u→∞, P\left{t≥0\sup\left(X_1(t)-μ_1t\right)>u,\undersets≥0\sup\left(X_2(s) …

Let (W 1 (s), W 2 (t)), s, t≥ 0 be a two-dimensional Gaussian process with standard
Brownian motion marginals and constant correlation ρ∈(− 1, 1). Define the joint survival …

We study extreme values in certain fork-join queueing networks: consider $ N $ identical
queues with a common arrival process and independent service processes. All arrival and …

This paper develops asymptotics and approximations for ruin probabilities in a multivariate
risk setting. We consider a model in which the individual reserve processes are driven by a …

This paper proposes a multidimensional Hilbert transform approach for pricing discretely
monitored multi-asset barrier options and computing joint survival probability in multivariate …

High-tech systems are typically produced in two stages:(1) production of components using
specialized equipment and staff and (2) system assembly/integration. Component …