Lanpeng Ji EVA Talk Preview
From Anna Munro
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Name: Lanpeng Ji
Talk Title: Extrema of multi-dimensional Gaussian processes over random intervals
Abstract: Consider an n-dimensional Gaussian process where each coordinate is a Gaussian process with stationary increments and with a (positive or negative) linear drift, and all the coordinates are assumed to be independent.
As a relevant application, we shall discuss a multi-dimensional regenerative model, which is a process with a random alternating environment, where an independent multi-dimensional fractional Brownian motion (fBm) with drift is assigned at each environment alternating time. We derive the corresponding ruin probability by analysing a related perturbed random walk.
This is a joint work with Dr Xiaofan Peng (University of Electronic Science and Technology of China).
This talk is a contributed talk at EVA 2021. View the programme here.