Details about Vladimir Ilich Piterbarg

Access statistics for papers by Vladimir Ilich Piterbarg.

Last updated 2022-04-04. Update your information in the RePEc Author Service.

Short-id: ppi536

Working Papers

2002

1. Discrete vs continuous time for large extremes of Gaussian processes
   Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

2001

2. Nonparametric estimation of the spectral measure of an extreme value distribution
   Other publications TiSEM, Tilburg University, School of Economics and Management View citations (30)

Journal Articles

2020

1. High excursions of Bessel and related random processes
   Stochastic Processes and their Applications, 2020, 130, (8), 4859-4872

2011

2. Log-likelihood ratio test for detecting transient change
   Statistics & Probability Letters, 2011, 81, (5), 552-559 View citations (9)

2008

3. A NEW FRAMEWORK FOR DYNAMIC CREDIT PORTFOLIO LOSS MODELLING
   International Journal of Theoretical and Applied Finance (IJTAF), 2008, 11, (02), 163-197 View citations (12)
4. A limit theorem for the time of ruin in a Gaussian ruin problem
   Stochastic Processes and their Applications, 2008, 118, (11), 2014-2021 View citations (5)
5. On estimation of the exponent of regular variation using a sample with missing observations
   Statistics & Probability Letters, 2008, 78, (4), 327-335 View citations (1)

2007

6. Moment explosions in stochastic volatility models
   Finance and Stochastics, 2007, 11, (1), 29-50 View citations (123)

2006

7. On asymptotic distribution of maxima of complete and incomplete samples from stationary sequences
   Stochastic Processes and their Applications, 2006, 116, (12), 1977-1991 View citations (10)

2004

8. Limit theorem for maximum of the storage process with fractional Brownian motion as input
   Stochastic Processes and their Applications, 2004, 114, (2), 231-250 View citations (4)
9. On the ruin probability for physical fractional Brownian motion
   Stochastic Processes and their Applications, 2004, 113, (2), 315-332 View citations (8)

1984

10. On the convergence rate of maximal deviation distribution for kernel regression estimates
    Journal of Multivariate Analysis, 1984, 15, (3), 279-294 View citations (18)