Piterbarg, V. I. High excursion probabilities for Gaussian fields on smooth manifolds. (English. Russian original) Zbl 07898582 Theory Probab. Appl. 69, No. 2, 294-312 (2024); translation from Teor. Veroyatn. Primen. 69, No. 1, 369-392 (2024). MSC: 60G15 60G60 60G70 PDFBibTeX XMLCite \textit{V. I. Piterbarg}, Theory Probab. Appl. 69, No. 2, 294--312 (2024; Zbl 07898582); translation from Teor. Veroyatn. Primen. 69, No. 1, 369--392 (2024) Full Text: DOI arXiv
Piterbarg, V. I. Asymptotic behavior of point processes of exceeding the high levels of Gaussian stationary sequence. (English. Russian original) Zbl 1539.60041 Mosc. Univ. Math. Bull. 78, No. 6, 291-297 (2023); translation from Vestn. Mosk. Univ., Ser. I 78, No. 6, 36-42 (2023). MSC: 60G15 60F05 60E07 60G10 PDFBibTeX XMLCite \textit{V. I. Piterbarg}, Mosc. Univ. Math. Bull. 78, No. 6, 291--297 (2023; Zbl 1539.60041); translation from Vestn. Mosk. Univ., Ser. I 78, No. 6, 36--42 (2023) Full Text: DOI
Piterbarg, Vladimir I. Poisson limit theorem for the number of excursions above high and medium levels by Gaussian stationary sequences. arXiv:2309.00925 Preprint, arXiv:2309.00925 [math.PR] (2023). BibTeX Cite \textit{V. I. Piterbarg}, ``Poisson limit theorem for the number of excursions above high and medium levels by Gaussian stationary sequences'', Preprint, arXiv:2309.00925 [math.PR] (2023) Full Text: arXiv OA License
Piterbarg, Vladimir V. Expected median of a shifted Brownian motion: theory and calculations. (English) Zbl 1522.91284 Math. Finance 32, No. 1, 3-45 (2022). MSC: 91G20 91G30 60J70 PDFBibTeX XMLCite \textit{V. V. Piterbarg}, Math. Finance 32, No. 1, 3--45 (2022; Zbl 1522.91284) Full Text: DOI
Kobelkov, S. G.; Piterbarg, V. I.; Rodionov, I. V.; Hashorva, E. On the maximum of a Gaussian process with unique maximum point of its variance. (English. Russian original) Zbl 1487.60078 J. Math. Sci., New York 262, No. 4, 504-513 (2022); translation from Fundam. Prikl. Mat. 23, No. 1, 161-174 (2020). MSC: 60G15 PDFBibTeX XMLCite \textit{S. G. Kobelkov} et al., J. Math. Sci., New York 262, No. 4, 504--513 (2022; Zbl 1487.60078); translation from Fundam. Prikl. Mat. 23, No. 1, 161--174 (2020) Full Text: DOI
Piterbarg, V. I.; Scherbakova, Yu. A. On accompanying measures and asymptotic expansions in the B. V. Gnedenko limit theorem. (English. Russian original) Zbl 1491.60031 Theory Probab. Appl. 67, No. 1, 44-61 (2022); translation from Teor. Veroyatn. Primen. 67, No. 1, 57-80 (2022). MSC: 60E05 62E20 62G32 60F05 PDFBibTeX XMLCite \textit{V. I. Piterbarg} and \textit{Yu. A. Scherbakova}, Theory Probab. Appl. 67, No. 1, 44--61 (2022; Zbl 1491.60031); translation from Teor. Veroyatn. Primen. 67, No. 1, 57--80 (2022) Full Text: DOI
Konakov, Valentin; Panov, Vladimir; Piterbarg, Vladimir Extremes of a class of non-stationary Gaussian processes and maximal deviation of projection density estimates. (English) Zbl 1470.60140 Extremes 24, No. 3, 617-651 (2021). MSC: 60G70 60G15 62G07 PDFBibTeX XMLCite \textit{V. Konakov} et al., Extremes 24, No. 3, 617--651 (2021; Zbl 1470.60140) Full Text: DOI arXiv
Kobelkov, Sergey G.; Piterbarg, Vladimir I.; Rodionov, Igor V. Correction to: “On maximum of Gaussian random fields having unique maximum point of its variance”. (English) Zbl 1473.60069 Extremes 24, No. 1, 85-90 (2021). MSC: 60G15 60G70 PDFBibTeX XMLCite \textit{S. G. Kobelkov} et al., Extremes 24, No. 1, 85--90 (2021; Zbl 1473.60069) Full Text: DOI
Kozik, I. A.; Piterbarg, V. I. High excursions of Gaussian nonstationary processes in discrete time. (English. Russian original) Zbl 1456.60086 J. Math. Sci., New York 253, No. 6, 867-874 (2021); translation from Fundam. Prikl. Mat. 22, No. 2, 159-169 (2018). MSC: 60G15 60G70 PDFBibTeX XMLCite \textit{I. A. Kozik} and \textit{V. I. Piterbarg}, J. Math. Sci., New York 253, No. 6, 867--874 (2021; Zbl 1456.60086); translation from Fundam. Prikl. Mat. 22, No. 2, 159--169 (2018) Full Text: DOI
Piterbarg, Vladimir I.; Rodionov, Igor V. High excursions of Bessel and related random processes. (English) Zbl 1456.60088 Stochastic Processes Appl. 130, No. 8, 4859-4872 (2020). MSC: 60G15 PDFBibTeX XMLCite \textit{V. I. Piterbarg} and \textit{I. V. Rodionov}, Stochastic Processes Appl. 130, No. 8, 4859--4872 (2020; Zbl 1456.60088) Full Text: DOI
Piterbarg, V. I.; Scherbakova, Yu. A. On accompanying measures and asymptotic expansions in limit theorems for maximum of random variables. arXiv:2010.10972 Preprint, arXiv:2010.10972 [math.PR] (2020). BibTeX Cite \textit{V. I. Piterbarg} and \textit{Yu. A. Scherbakova}, ``On accompanying measures and asymptotic expansions in limit theorems for maximum of random variables'', Preprint, arXiv:2010.10972 [math.PR] (2020) Full Text: arXiv OA License
Piterbarg, V. I.; Rodionov, I. V. High excursions of Bessel process and other processes of Bessel type. (English. Russian original) Zbl 1427.60063 Dokl. Math. 100, No. 1, 346-348 (2019); translation from Dokl. Akad. Nauk, Ross. Akad. Nauk 487, No. 3, 238-241 (2019). MSC: 60G15 60G60 PDFBibTeX XMLCite \textit{V. I. Piterbarg} and \textit{I. V. Rodionov}, Dokl. Math. 100, No. 1, 346--348 (2019; Zbl 1427.60063); translation from Dokl. Akad. Nauk, Ross. Akad. Nauk 487, No. 3, 238--241 (2019) Full Text: DOI
Kobelkov, Sergey G.; Piterbarg, Vladimir I. On maximum of Gaussian random field having unique maximum point of its variance. (English) Zbl 1473.60068 Extremes 22, No. 3, 413-432 (2019); correction ibid. 24, No. 1, 85-90 (2021). MSC: 60G15 60G70 PDFBibTeX XMLCite \textit{S. G. Kobelkov} and \textit{V. I. Piterbarg}, Extremes 22, No. 3, 413--432 (2019; Zbl 1473.60068) Full Text: DOI arXiv
Kleban, A. O.; Piterbarg, V. I. Method of moments for exit probabilities of Gaussian vector processes from a large region. (English. Russian original) Zbl 1442.60042 Theory Probab. Appl. 63, No. 4, 545-555 (2019); translation from Teor. Veroyatn. Primen. 63, No. 4, 669-682 (2018). MSC: 60G15 60G70 60F10 PDFBibTeX XMLCite \textit{A. O. Kleban} and \textit{V. I. Piterbarg}, Theory Probab. Appl. 63, No. 4, 545--555 (2019; Zbl 1442.60042); translation from Teor. Veroyatn. Primen. 63, No. 4, 669--682 (2018) Full Text: DOI
Hashorva, E.; Kobelkov, S.; Piterbarg, V. I. On maximum of Gaussian process with unique maximum point of its variance. arXiv:1901.09753 Preprint, arXiv:1901.09753 [math.PR] (2019). BibTeX Cite \textit{E. Hashorva} et al., ``On maximum of Gaussian process with unique maximum point of its variance'', Preprint, arXiv:1901.09753 [math.PR] (2019) Full Text: arXiv OA License
Mishura, Yu. S.; Piterbarg, V. I.; Ralchenko, K. V.; Yurchenko-Tytarenko, A. Yu. Stochastic representation and path properties of a fractional Cox-Ingersoll-Ross process. (English. Ukrainian original) Zbl 1409.60061 Theory Probab. Math. Stat. 97, 167-182 (2018); translation from Teor. Jmovirn. Mat. Stat. 97, 157-170 (2017). MSC: 60G22 60G15 60H10 PDFBibTeX XMLCite \textit{Yu. S. Mishura} et al., Theory Probab. Math. Stat. 97, 167--182 (2018; Zbl 1409.60061); translation from Teor. Jmovirn. Mat. Stat. 97, 157--170 (2017) Full Text: DOI arXiv
Piterbarg, V. I. Massive excursions of Gaussian isotropic fields. Method of moments. (English. Russian original) Zbl 1414.60023 Theory Probab. Appl. 63, No. 2, 193-208 (2018); translation from Teor. Veroyatn. Primen. 63, No. 2, 240-259 (2018). MSC: 60G15 60G60 60G70 PDFBibTeX XMLCite \textit{V. I. Piterbarg}, Theory Probab. Appl. 63, No. 2, 193--208 (2018; Zbl 1414.60023); translation from Teor. Veroyatn. Primen. 63, No. 2, 240--259 (2018) Full Text: DOI
Zhdanov, A. I.; Piterbarg, V. I. High extremes of Gaussian chaos processes: a discrete time approximation approach. (English. Russian original) Zbl 1414.60024 Theory Probab. Appl. 63, No. 1, 1-21 (2018); translation from Teor. Veroyatn. Primen. 63, No. 1, 3-28 (2018). MSC: 60G15 60F05 60G70 PDFBibTeX XMLCite \textit{A. I. Zhdanov} and \textit{V. I. Piterbarg}, Theory Probab. Appl. 63, No. 1, 1--21 (2018; Zbl 1414.60024); translation from Teor. Veroyatn. Primen. 63, No. 1, 3--28 (2018) Full Text: DOI
Piterbarg, Vladimir; Popivoda, Goran; Stamatović, Siniša Extremes of Gaussian processes with a smooth random trend. (English) Zbl 1488.60087 Filomat 31, No. 8, 2267-2279 (2017). MSC: 60G15 60G60 PDFBibTeX XMLCite \textit{V. Piterbarg} et al., Filomat 31, No. 8, 2267--2279 (2017; Zbl 1488.60087) Full Text: DOI
Farkas, Julia; Hashorva, Enkelejd; Piterbarg, Vladimir I. Asymptotic behavior of reliability function for multidimensional aggregated Weibull type reliability indices. (English) Zbl 1383.60073 Rykov, Vladimir V. (ed.) et al., Analytical and computational methods in probability theory. First international conference, ACMPT 2017, Moscow, Russia, October 23–27, 2017. Proceedings. Cham: Springer (ISBN 978-3-319-71503-2/pbk; 978-3-319-71504-9/ebook). Lecture Notes in Computer Science 10684, 251-264 (2017). MSC: 60K20 60K10 91B30 91B70 PDFBibTeX XMLCite \textit{J. Farkas} et al., Lect. Notes Comput. Sci. 10684, 251--264 (2017; Zbl 1383.60073) Full Text: DOI
Hüsler, Jürg; Piterbarg, Vladimir I. On shape of high massive excursions of trajectories of Gaussian homogeneous fields. (English) Zbl 1387.60065 Extremes 20, No. 3, 691-711 (2017). MSC: 60G15 60G70 60G05 PDFBibTeX XMLCite \textit{J. Hüsler} and \textit{V. I. Piterbarg}, Extremes 20, No. 3, 691--711 (2017; Zbl 1387.60065) Full Text: DOI
Piterbarg, Vladimir; Popivoda, Goran; Stamatović, Siniša Extremes of Gaussian processes with smooth random expectation and smooth random variance. (English) Zbl 1365.60036 Lith. Math. J. 57, No. 1, 128-141 (2017). MSC: 60G15 60G70 60G10 60F99 PDFBibTeX XMLCite \textit{V. Piterbarg} et al., Lith. Math. J. 57, No. 1, 128--141 (2017; Zbl 1365.60036) Full Text: DOI
Hüsler, J.; Kremena, E. V.; Piterbarg, V. I. On the shape of trajectories of Gaussian processes having large massive excursions. II. (English. Russian original) Zbl 1370.60065 Theory Probab. Appl. 60, No. 3, 513-520 (2016); translation from Teor. Veroyatn. Primen. 60, No. 3, 613-621 (2016). MSC: 60G15 60G10 PDFBibTeX XMLCite \textit{J. Hüsler} et al., Theory Probab. Appl. 60, No. 3, 513--520 (2016; Zbl 1370.60065); translation from Teor. Veroyatn. Primen. 60, No. 3, 613--621 (2016) Full Text: DOI
Piterbarg, V. I. Large extremes of Gaussian chaos processes. (English. Russian original) Zbl 1343.60065 Dokl. Math. 93, No. 2, 145-147 (2016); translation from Dokl. Akad. Nauk, Ross. Akad. Nauk 467, No. 1, 23-25 (2016). MSC: 60G70 60F10 60G15 PDFBibTeX XMLCite \textit{V. I. Piterbarg}, Dokl. Math. 93, No. 2, 145--147 (2016; Zbl 1343.60065); translation from Dokl. Akad. Nauk, Ross. Akad. Nauk 467, No. 1, 23--25 (2016) Full Text: DOI
Piterbarg, Vladimir I. High extrema of Gaussian chaos processes. (English) Zbl 1339.60062 Extremes 19, No. 2, 253-272 (2016). MSC: 60G70 60G15 60G10 60K40 PDFBibTeX XMLCite \textit{V. I. Piterbarg}, Extremes 19, No. 2, 253--272 (2016; Zbl 1339.60062) Full Text: DOI
Mazur, A. E.; Piterbarg, V. I. Gaussian copula time series with heavy tails and strong time dependence. (English. Russian original) Zbl 1408.62148 Mosc. Univ. Math. Bull. 70, No. 5, 197-201 (2015); translation from Vestn. Mosk. Univ., Ser. I 70, No. 5, 3-7 (2015). MSC: 62M10 60G70 60G10 PDFBibTeX XMLCite \textit{A. E. Mazur} and \textit{V. I. Piterbarg}, Mosc. Univ. Math. Bull. 70, No. 5, 197--201 (2015; Zbl 1408.62148); translation from Vestn. Mosk. Univ., Ser. I 70, No. 5, 3--7 (2015) Full Text: DOI
Korshunov, D. A.; Piterbarg, V. I.; Hashorva, E. On the asymptotic Laplace method and its application to random chaos. (English. Russian original) Zbl 1326.60045 Math. Notes 97, No. 6, 878-891 (2015); translation from Mat. Zametki 97, No. 6, 868-883 (2015). MSC: 60G15 44A10 PDFBibTeX XMLCite \textit{D. A. Korshunov} et al., Math. Notes 97, No. 6, 878--891 (2015; Zbl 1326.60045); translation from Mat. Zametki 97, No. 6, 868--883 (2015) Full Text: DOI
Hashorva, Enkelejd; Korshunov, Dmitry; Piterbarg, Vladimir I. Asymptotic expansion of Gaussian chaos via probabilistic approach. (English) Zbl 1337.60031 Extremes 18, No. 3, 315-347 (2015). MSC: 60F10 60G15 60J57 60E05 60G70 60B20 PDFBibTeX XMLCite \textit{E. Hashorva} et al., Extremes 18, No. 3, 315--347 (2015; Zbl 1337.60031) Full Text: DOI arXiv
Piterbarg, Vladimir I. Twenty lectures about Gaussian processes. (English) Zbl 1359.60005 London: Atlantic Financial Press (ISBN 978-0-9844221-9-7/pbk). xi, 167 p., ii p. (2015). Reviewer: Jordan M. Stoyanov (Ljubljana) MSC: 60-01 60G15 60E05 PDFBibTeX XMLCite \textit{V. I. Piterbarg}, Twenty lectures about Gaussian processes. London: Atlantic Financial Press (2015; Zbl 1359.60005)
Piterbarg, Vladimir I.; Zhdanov, Alexander On probability of high extremes for product of two independent Gaussian stationary processes. (English) Zbl 1408.60031 Extremes 18, No. 1, 99-108 (2015). MSC: 60G15 60G70 60K30 60K40 PDFBibTeX XMLCite \textit{V. I. Piterbarg} and \textit{A. Zhdanov}, Extremes 18, No. 1, 99--108 (2015; Zbl 1408.60031) Full Text: DOI
Kremena, E. V.; Piterbarg, V. I.; Hüsler, J. On the shape of trajectories of Gaussian processes having large massive excursions. (English) Zbl 1312.60038 Theory Probab. Appl. 58, No. 4, 582-600 (2014); translation from Teor. Veroyatn. Primen. 58, No. 4, 672-694 (2013). MSC: 60G15 PDFBibTeX XMLCite \textit{E. V. Kremena} et al., Theory Probab. Appl. 58, No. 4, 582--600 (2014; Zbl 1312.60038); translation from Teor. Veroyatn. Primen. 58, No. 4, 672--694 (2013) Full Text: DOI
Hashorva, Enkelejd; Ji, Lanpeng; Piterbarg, Vladimir I. On the supremum of \(\gamma\)-reflected processes with fractional Brownian motion as input. (English) Zbl 1316.60054 Stochastic Processes Appl. 123, No. 11, 4111-4127 (2013). MSC: 60G22 60G70 60G15 60G60 PDFBibTeX XMLCite \textit{E. Hashorva} et al., Stochastic Processes Appl. 123, No. 11, 4111--4127 (2013; Zbl 1316.60054) Full Text: DOI arXiv
Korshunov, D. A.; Piterbarg, V. I.; Hashorva, E. On extremal behavior of Gaussian chaos. (English. Russian original) Zbl 1416.60046 Dokl. Math. 88, No. 2, 566-568 (2013); translation from Dokl. Akad. Nauk. 452, No. 5, 483-485 (2013). MSC: 60F10 60G15 60G70 PDFBibTeX XMLCite \textit{D. A. Korshunov} et al., Dokl. Math. 88, No. 2, 566--568 (2013; Zbl 1416.60046); translation from Dokl. Akad. Nauk. 452, No. 5, 483--485 (2013) Full Text: DOI
Gnedenko, Dmitry B.; Piterbarg, Vladimir I. On the 100th anniversary of Boris Vladimirovich Gnedenko (01.01.1912–27.12.1995). (English) Zbl 1329.01061 Extremes 15, No. 4, 531-537 (2012). MSC: 01A70 60-03 62-03 PDFBibTeX XMLCite \textit{D. B. Gnedenko} and \textit{V. I. Piterbarg}, Extremes 15, No. 4, 531--537 (2012; Zbl 1329.01061) Full Text: DOI
Hüsler, Jürg; Piterbarg, Vladimir; Rumyantseva, Ekaterina Extremes of Gaussian processes with a smooth random variance. (English) Zbl 1228.60059 Stochastic Processes Appl. 121, No. 11, 2592-2605 (2011). Reviewer: Michael Falk (Würzburg) MSC: 60G70 60G15 PDFBibTeX XMLCite \textit{J. Hüsler} et al., Stochastic Processes Appl. 121, No. 11, 2592--2605 (2011; Zbl 1228.60059) Full Text: DOI
Hüsler, Juerg; Piterbarg, Vladimir; Zhang, Yueming Extremes of Gaussian processes with random variance. (English) Zbl 1231.60030 Electron. J. Probab. 16, Paper No. 45, 1254-1280 (2011). MSC: 60G15 60G70 60F05 PDFBibTeX XMLCite \textit{J. Hüsler} et al., Electron. J. Probab. 16, Paper No. 45, 1254--1280 (2011; Zbl 1231.60030) Full Text: EMIS
Jarušková, Daniela; Piterbarg, Vladimir I. Log-likelihood ratio test for detecting transient change. (English) Zbl 1209.62141 Stat. Probab. Lett. 81, No. 5, 552-559 (2011). MSC: 62H15 62E20 62M99 65C60 PDFBibTeX XMLCite \textit{D. Jarušková} and \textit{V. I. Piterbarg}, Stat. Probab. Lett. 81, No. 5, 552--559 (2011; Zbl 1209.62141) Full Text: DOI HAL
Hüsler, Juerg; Ladneva, Anna; Piterbarg, Vladimir On clusters of high extremes of Gaussian stationary processes with \(\epsilon \)-separation. (English) Zbl 1226.60082 Electron. J. Probab. 15, Paper No. 59, 1825-1862 (2010). MSC: 60G70 60G15 60G10 PDFBibTeX XMLCite \textit{J. Hüsler} et al., Electron. J. Probab. 15, Paper No. 59, 1825--1862 (2010; Zbl 1226.60082) Full Text: EMIS
Boulongne, Patrick; Pierre-Loti-Viaud, Daniel; Piterbarg, Vladimir On average losses in the ruin problem with fractional Brownian motion as input. (English) Zbl 1224.91046 Extremes 12, No. 1, 77-91 (2009). Reviewer: R. E. Maiboroda (Kyïv) MSC: 91B30 60G22 PDFBibTeX XMLCite \textit{P. Boulongne} et al., Extremes 12, No. 1, 77--91 (2009; Zbl 1224.91046) Full Text: DOI
Albeverio, Sergio; Fatalov, Vadim; Piterbarg, Vladimir I. Asymptotic behavior of the sample mean of a function of the Wiener process and the MacDonald function. (English) Zbl 1205.60144 J. Math. Sci., Tokyo 16, No. 1, 55-93 (2009). MSC: 60J65 33C10 60F10 PDFBibTeX XMLCite \textit{S. Albeverio} et al., J. Math. Sci., Tokyo 16, No. 1, 55--93 (2009; Zbl 1205.60144) Full Text: Link
Abramov, A. M.; Arnol’d, V. I.; Bolsinov, A. V.; Varchenko, A. N.; Galgani, L.; Zhilinskii, B. I.; Il’yashenko, Yu. S.; Kozlov, Valerii V.; Neishtadt, Anatolii I.; Piterbarg, Vladimir I.; Khovanskii, Askold G.; Yashchenko, Valerii V. Nikolai Nikolaevich Nekhoroshev (obituary). (English. Russian original) Zbl 1175.01064 Russ. Math. Surv. 64, No. 3, 561-566 (2009); translation from Usp. Mat. Nauk 64, No. 3, 174-178 (2009). MSC: 01A70 PDFBibTeX XMLCite \textit{A. M. Abramov} et al., Russ. Math. Surv. 64, No. 3, 561--566 (2009; Zbl 1175.01064); translation from Usp. Mat. Nauk 64, No. 3, 174--178 (2009) Full Text: DOI
Antonov, Alexandre; Misirpashaev, Timur; Piterbarg, Vladimir Markovian projection onto a Heston model. (English) Zbl 1178.91187 J. Comput. Finance 13, No. 1, 23-47 (2009). MSC: 91G20 60H30 PDFBibTeX XMLCite \textit{A. Antonov} et al., J. Comput. Finance 13, No. 1, 23--47 (2009; Zbl 1178.91187) Full Text: DOI
Hüsler, Jürg; Piterbarg, Vladimir A limit theorem for the time of ruin in a Gaussian ruin problem. (English) Zbl 1151.60313 Stochastic Processes Appl. 118, No. 11, 2014-2021 (2008). MSC: 60F05 60G15 91B30 PDFBibTeX XMLCite \textit{J. Hüsler} and \textit{V. Piterbarg}, Stochastic Processes Appl. 118, No. 11, 2014--2021 (2008; Zbl 1151.60313) Full Text: DOI
Sidenius, Jakob; Piterbarg, Vladimir; Andersen, Leif A new framework for dynamic credit portfolio loss modelling. (English) Zbl 1211.91246 Int. J. Theor. Appl. Finance 11, No. 2, 163-197 (2008). MSC: 91G40 91G10 60J20 91G20 PDFBibTeX XMLCite \textit{J. Sidenius} et al., Int. J. Theor. Appl. Finance 11, No. 2, 163--197 (2008; Zbl 1211.91246) Full Text: DOI
Mladenović, Pavle; Piterbarg, Vladimir On estimation of the exponent of regular variation using a sample with missing observations. (English) Zbl 1131.62042 Stat. Probab. Lett. 78, No. 4, 327-335 (2008). MSC: 62G32 62G20 62G30 62F12 PDFBibTeX XMLCite \textit{P. Mladenović} and \textit{V. Piterbarg}, Stat. Probab. Lett. 78, No. 4, 327--335 (2008; Zbl 1131.62042) Full Text: DOI
Kudrov, A. V.; Piterbarg, V. I. On maxima of partial samples in Gaussian sequences with pseudo-stationary trends. (English. Russian original) Zbl 1135.60021 Lith. Math. J. 47, No. 1, 48-56 (2007); translation from Liet. Mat. Rink. 47, No. 1, 49-61 (2007). Reviewer: Michael Falk (Würzburg) MSC: 60G15 60G70 PDFBibTeX XMLCite \textit{A. V. Kudrov} and \textit{V. I. Piterbarg}, Lith. Math. J. 47, No. 1, 48--56 (2007; Zbl 1135.60021); translation from Liet. Mat. Rink. 47, No. 1, 49--61 (2007) Full Text: DOI
Andersen, Leif B. G.; Piterbarg, Vladimir V. Moment explosions in stochastic volatility models. (English) Zbl 1142.65004 Finance Stoch. 11, No. 1, 29-50 (2007). Reviewer: Yuliya Mishura (Kyïv) MSC: 65C30 60H10 91B24 60H35 PDFBibTeX XMLCite \textit{L. B. G. Andersen} and \textit{V. V. Piterbarg}, Finance Stoch. 11, No. 1, 29--50 (2007; Zbl 1142.65004) Full Text: DOI
Mladenović, Pavle; Piterbarg, Vladimir On asymptotic distribution of maxima of complete and incomplete samples from stationary sequences. (English) Zbl 1118.60047 Stochastic Processes Appl. 116, No. 12, 1977-1991 (2006). MSC: 60G70 60G10 PDFBibTeX XMLCite \textit{P. Mladenović} and \textit{V. Piterbarg}, Stochastic Processes Appl. 116, No. 12, 1977--1991 (2006; Zbl 1118.60047) Full Text: DOI
Piterbarg, Vladimir V. Stochastic volatility model with time-dependent skew. (English) Zbl 1148.91021 Appl. Math. Finance 12, No. 2, 147-185 (2005). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91B28 60H10 PDFBibTeX XMLCite \textit{V. V. Piterbarg}, Appl. Math. Finance 12, No. 2, 147--185 (2005; Zbl 1148.91021) Full Text: DOI
Piterbarg, V. I.; Stamatovich, B. Rough asymptotics of the probability of simultaneous high extrema of two Gaussian processes: the dual action functional. (English. Russian original) Zbl 1075.60026 Russ. Math. Surv. 60, No. 1, 167-168 (2005); translation from Usp. Mat. Nauk 60, No. 1, 171-172 (2005). Reviewer: Ilya Pavlyukevitch (Berlin) MSC: 60G15 60F10 60G70 PDFBibTeX XMLCite \textit{V. I. Piterbarg} and \textit{B. Stamatovich}, Russ. Math. Surv. 60, No. 1, 167--168 (2005; Zbl 1075.60026); translation from Usp. Mat. Nauk 60, No. 1, 171--172 (2005) Full Text: DOI
Piterbarg, Vladimir I. Discrete and continuous time extremes of Gaussian processes. (English) Zbl 1088.60051 Extremes 7, No. 2, 161-177 (2004). Reviewer: R. E. Maiboroda (Kyïv) MSC: 60G70 60G15 PDFBibTeX XMLCite \textit{V. I. Piterbarg}, Extremes 7, No. 2, 161--177 (2004; Zbl 1088.60051) Full Text: DOI
Hüsler, Jürg; Piterbarg, Vladimir Limit theorem for maximum of the storage process with fractional Brownian motion as input. (English) Zbl 1075.60119 Stochastic Processes Appl. 114, No. 2, 231-250 (2004). Reviewer: Janos Galambos (Philadelphia) MSC: 60K30 60K25 60G15 PDFBibTeX XMLCite \textit{J. Hüsler} and \textit{V. Piterbarg}, Stochastic Processes Appl. 114, No. 2, 231--250 (2004; Zbl 1075.60119) Full Text: DOI Link
Hüsler, J.; Piterbarg, V. On the ruin probability for physical fractional Brownian motion. (English) Zbl 1070.60036 Stochastic Processes Appl. 113, No. 2, 315-332 (2004). MSC: 60G15 PDFBibTeX XMLCite \textit{J. Hüsler} and \textit{V. Piterbarg}, Stochastic Processes Appl. 113, No. 2, 315--332 (2004; Zbl 1070.60036) Full Text: DOI
Piterbarg, Vladimir V. Risk sensitivities of Bermuda swaptions. (English) Zbl 1107.91354 Int. J. Theor. Appl. Finance 7, No. 4, 465-509 (2004). MSC: 91B30 91B28 PDFBibTeX XMLCite \textit{V. V. Piterbarg}, Int. J. Theor. Appl. Finance 7, No. 4, 465--509 (2004; Zbl 1107.91354) Full Text: DOI
Konstantinides, D. G.; Piterbarg, V.; Stamatovic, S. Gnedenko-type limit theorems for cyclostationary \(c^2\)-processes. (English) Zbl 1055.60047 Lith. Math. J. 44, No. 2, 157-167 (2004) and Liet. Mat. Rink 44, No. 2, 196-208 (2004). Reviewer: Wiesław Dziubdziela (Kielce) MSC: 60G70 60G15 PDFBibTeX XMLCite \textit{D. G. Konstantinides} et al., Lith. Math. J. 44, No. 2, 157--167 (2004; Zbl 1055.60047) Full Text: DOI
Piterbarg, V. I.; Stamatovic, S. Limit theorem for high level a-upcrossings by \(\chi\)-process. (English. Russian original) Zbl 1064.60067 Theory Probab. Appl. 48, No. 4, 734-741 (2003); translation from Teor. Veroyatn. Primen. 48, No. 4, 811-818 (2003). Reviewer: Janos Galambos (Philadelphia) MSC: 60G15 60G10 60F99 PDFBibTeX XMLCite \textit{V. I. Piterbarg} and \textit{S. Stamatovic}, Theory Probab. Appl. 48, No. 4, 734--741 (2003; Zbl 1064.60067); translation from Teor. Veroyatn. Primen. 48, No. 4, 811--818 (2003) Full Text: DOI
Piterbarg, V. I.; Kozlov, A. M. On large jumps of a Cramer random walk. (English. Russian original) Zbl 1069.60030 Theory Probab. Appl. 47, No. 4, 719-729 (2002); translation from Teor. Veroyatn. Primen. 47, No. 4, 803-814 (2003). Reviewer: Bero Roos (Hamburg) MSC: 60F10 60G50 PDFBibTeX XMLCite \textit{V. I. Piterbarg} and \textit{A. M. Kozlov}, Theory Probab. Appl. 47, No. 4, 719--729 (2003; Zbl 1069.60030); translation from Teor. Veroyatn. Primen. 47, No. 4, 803--814 (2003) Full Text: DOI
Hüsler, J.; Piterbarg, V.; Seleznjev, O. On convergence of the uniform norms for Gaussian processes and linear approximation problems. (English) Zbl 1038.60040 Ann. Appl. Probab. 13, No. 4, 1615-1653 (2003). Reviewer: Yuhu Feng (Shanghai) MSC: 60G70 60G15 60F05 PDFBibTeX XMLCite \textit{J. Hüsler} et al., Ann. Appl. Probab. 13, No. 4, 1615--1653 (2003; Zbl 1038.60040) Full Text: DOI
Piterbarg, V. I. Large excursions of an inventory process generated by fractional Brownian motion. (Russian) Zbl 1255.90020 Betelin, V. B. (ed.), Integral’naya geometriya. Matematicheskie modeli. Ponimanie izobrazhenij. Moscow: Rossijskaya Akademiya Nauk, Nauchno-Issledovatel’skij Institut Sistemnykh Issledovanij (ISBN 5-93838-006-5). 81-101 (2001). MSC: 90B05 60G15 60G35 PDFBibTeX XMLCite \textit{V. I. Piterbarg}, in: Integral'naya geometriya. Matematicheskie modeli. Ponimanie izobrazhenij. Moscow: Rossijskaya Akademiya Nauk, Nauchno-Issledovatel'skij Institut Sistemnykh Issledovanij. 81--101 (2001; Zbl 1255.90020)
Piterbarg, Vladimir I.; Stamatovich, Sinisha On maximum of Gaussian non-centered fields indexed on smooth manifolds. (English) Zbl 1018.60053 Balakrishnan, N. (ed.) et al., Asymptotic methods in probability and statistics with applications. Papers from the international conference, St. Petersburg, Russia, June 24-28, 1998. Boston, MA: Birkhäuser. 189-203 (2001). Reviewer: B.L.S.Prakasa Rao (New Delhi) MSC: 60G60 PDFBibTeX XMLCite \textit{V. I. Piterbarg} and \textit{S. Stamatovich}, in: Asymptotic methods in probability and statistics with applications. Papers from the international conference, St. Petersburg, Russia, June 24--28, 1998. Boston, MA: Birkhäuser. 189--203 (2001; Zbl 1018.60053)
Piterbarg, Vladimir I. Large deviations of a storage process with fractional Brownian motion as input. (English) Zbl 1003.60053 Extremes 4, No. 2, 147-164 (2001). Reviewer: R.E.Maiboroda (Kyïv) MSC: 60G70 60G15 PDFBibTeX XMLCite \textit{V. I. Piterbarg}, Extremes 4, No. 2, 147--164 (2001; Zbl 1003.60053) Full Text: DOI
Einmahl, John H. J.; de Haan, Laurens; Piterbarg, Vladimir I. Nonparametric estimation of the spectral measure of an extreme value distribution. (English) Zbl 1043.62046 Ann. Stat. 29, No. 5, 1401-1423 (2001). MSC: 62G32 62G05 62G20 60F15 60G70 62G30 PDFBibTeX XMLCite \textit{J. H. J. Einmahl} et al., Ann. Stat. 29, No. 5, 1401--1423 (2001; Zbl 1043.62046) Full Text: DOI
Piterbarg, V. I.; Tyurin, Yu. N. Multivariate rank correlations: A Gaussian field on a direct product of spheres. (English. Russian original) Zbl 1061.62534 Theory Probab. Appl. 45, No. 2, 246-257 (2000); translation from Teor. Veroyatn. Primen. 45, No. 2, 236-250 (2000). MSC: 62H20 62H15 60F05 62M40 PDFBibTeX XMLCite \textit{V. I. Piterbarg} and \textit{Yu. N. Tyurin}, Theory Probab. Appl. 45, No. 2, 246--257 (2000; Zbl 1061.62534); translation from Teor. Veroyatn. Primen. 45, No. 2, 236--250 (2000) Full Text: DOI
Hüsler, J.; Piterbarg, V. Extremes of a certain class of Gaussian processes. (English) Zbl 0997.60057 Stochastic Processes Appl. 83, No. 2, 257-271 (1999). Reviewer: Petr Lachout (Praha) MSC: 60G70 60F05 60G15 PDFBibTeX XMLCite \textit{J. Hüsler} and \textit{V. Piterbarg}, Stochastic Processes Appl. 83, No. 2, 257--271 (1999; Zbl 0997.60057) Full Text: DOI
Piterbarg, Vladimir I.; Stamatović, Siniša On supremum of one-point conditioned fractional Brownian motion. (English) Zbl 0971.60042 Math. Montisnigri 10, 59-72 (1999). Reviewer: Vesna Jevremović (Beograd) MSC: 60G15 PDFBibTeX XMLCite \textit{V. I. Piterbarg} and \textit{S. Stamatović}, Math. Montisnigri 10, 59--72 (1999; Zbl 0971.60042)
Boulongne, P.; Ol’shanskij, K. A.; Piterbarg, V. I. Nonstationary time series with a close alternative hypothesis: Locally asymptotic distribution of the likelihood ratio. (English. Russian original) Zbl 0946.62082 Probl. Inf. Transm. 35, No. 2, 158-165 (1999); translation from Probl. Peredachi Inf. 35, No. 2, 75-82 (1999). MSC: 62M10 62E20 62F03 PDFBibTeX XMLCite \textit{P. Boulongne} et al., Probl. Inf. Transm. 35, No. 2, 158--165 (1999; Zbl 0946.62082); translation from Probl. Peredachi Inf. 35, No. 2, 75--82 (1999)
Piterbarg, Leonid I.; Piterbarg, Vladimir V. Intermittency of the tracer gradient. (English) Zbl 0941.76068 Commun. Math. Phys. 202, No. 1, 237-253 (1999). MSC: 76M35 60J75 PDFBibTeX XMLCite \textit{L. I. Piterbarg} and \textit{V. V. Piterbarg}, Commun. Math. Phys. 202, No. 1, 237--253 (1999; Zbl 0941.76068) Full Text: DOI
Piterbarg, Vladimir; Rychlik, Igor Central limit theorem for wave-functionals of Gaussian processes. (English) Zbl 0934.60034 Adv. Appl. Probab. 31, No. 1, 158-177 (1999). Reviewer: Valeriy Koval’ (Shytomyr) MSC: 60G15 60G35 60K40 60F05 PDFBibTeX XMLCite \textit{V. Piterbarg} and \textit{I. Rychlik}, Adv. Appl. Probab. 31, No. 1, 158--177 (1999; Zbl 0934.60034) Full Text: DOI
Piterbarg, Vladimir V. Expansions and contractions of isotropic stochastic flows of homeomorphisms. (English) Zbl 0936.60041 Ann. Probab. 26, No. 2, 479-499 (1998). MSC: 60G51 60H10 60F05 60F17 60J60 PDFBibTeX XMLCite \textit{V. V. Piterbarg}, Ann. Probab. 26, No. 2, 479--499 (1998; Zbl 0936.60041) Full Text: DOI
Konakov, V. D.; Piterbarg, V. I. High level excursions of Gaussian fields and the weakly optimal choice of the smoothing parameter. II. (English) Zbl 0926.62026 Math. Methods Stat. 6, No. 1, 112-124 (1997). MSC: 62G07 62G20 62M40 PDFBibTeX XMLCite \textit{V. D. Konakov} and \textit{V. I. Piterbarg}, Math. Methods Stat. 6, No. 1, 112--124 (1997; Zbl 0926.62026)
Piterbarg, V. I. Asymptotic methods in the theory of Gaussian processes and fields. Transl. from the Russian by V. V. Piterbarg. Transl. ed. by Simeon Ivanov. (English) Zbl 0841.60024 Translations of Mathematical Monographs. 148. Providence, RI: AMS. xii, 206 p. (1996). Reviewer: N.Leonenko (Kiev) MSC: 60G15 60-02 60G60 60G17 PDFBibTeX XMLCite \textit{V. I. Piterbarg}, Asymptotic methods in the theory of Gaussian processes and fields. Transl. from the Russian by V. V. Piterbarg. Transl. ed. by Simeon Ivanov. Providence, RI: AMS (1996; Zbl 0841.60024)
Piterbarg, V. I. Rice method for Gaussian random fields. (English) Zbl 0903.60029 Fundam. Prikl. Mat. 2, No. 1, 187-204 (1996). Reviewer: Anatoly Swishchuk (Kyïv) MSC: 60G15 60G60 60F10 PDFBibTeX XMLCite \textit{V. I. Piterbarg}, Fundam. Prikl. Mat. 2, No. 1, 187--204 (1996; Zbl 0903.60029)
Mikhaleva, T. L.; Piterbarg, V. I. On the distribution of the maximum of a Gaussian field with a constant variance on a smooth manifold. (English. Russian original) Zbl 0883.60048 Theory Probab. Appl. 41, No. 2, 367-379 (1996); translation from Teor. Veroyatn. Primen. 41, No. 2, 438-451 (1996). Reviewer: R.Theodorescu (Quebec) MSC: 60G60 60G15 PDFBibTeX XMLCite \textit{T. L. Mikhaleva} and \textit{V. I. Piterbarg}, Theory Probab. Appl. 41, No. 2, 367--379 (1996; Zbl 0883.60048); translation from Teor. Veroyatn. Primen. 41, No. 2, 438--451 (1996)
Piterbarg, V. I.; Fatalov, V. R. The Laplace method for probability measures in Banach spaces. (English. Russian original) Zbl 0871.46020 Russ. Math. Surv. 50, No. 6, 1151-1239 (1995); translation from Usp. Mat. Nauk 50, No. 6, 57-150 (1995). Reviewer: Z.G.Gorgadze (Tbilisi) MSC: 46G12 60B11 41A60 PDFBibTeX XMLCite \textit{V. I. Piterbarg} and \textit{V. R. Fatalov}, Russ. Math. Surv. 50, No. 6, 1151--1239 (1995; Zbl 0871.46020); translation from Usp. Mat. Nauk 50, No. 6, 57--150 (1995) Full Text: DOI
Konakov, V. D.; Piterbarg, V. I. High level excursions of Gaussian fields and the weakly optimal choice of the smoothing parameter. I. (English) Zbl 0840.62039 Math. Methods Stat. 4, No. 4, 421-434 (1995). MSC: 62G07 62G20 62E20 62M40 PDFBibTeX XMLCite \textit{V. D. Konakov} and \textit{V. I. Piterbarg}, Math. Methods Stat. 4, No. 4, 421--434 (1995; Zbl 0840.62039)
Piterbarg, V. I. High deviations for multidimensional stationary Gaussian processes with independent components. (English) Zbl 0846.60042 Zolotarev, V. M. (ed.) et al., Stability problems for stochastic models. Proceedings of the Fifteenth Perm seminar. Perm (Russia), June 2-6, 1992. Moskva: TVP. Front. Pure Appl. Probab. 3, 197-230 (1994). MSC: 60G15 60G10 PDFBibTeX XMLCite \textit{V. I. Piterbarg}, Front. Pure Appl. Probab. 3, 197--230 (1994; Zbl 0846.60042)
Piterbarg, V. I. High excursions for nonstationary generalized chi-square processes. (English) Zbl 0815.60045 Stochastic Processes Appl. 53, No. 2, 307-337 (1994). Reviewer: W.Dziubdziela (Wrocław) MSC: 60G70 60G60 60F10 PDFBibTeX XMLCite \textit{V. I. Piterbarg}, Stochastic Processes Appl. 53, No. 2, 307--337 (1994; Zbl 0815.60045) Full Text: DOI
Piterbarg, V. I.; Tyurin, Yu. N. Testing for homogeneity of two multivariate samples: A Gaussian field on a sphere. (English) Zbl 0798.62062 Math. Methods Stat. 2, No. 2, 147-164 (1993). MSC: 62G10 62M40 62E20 PDFBibTeX XMLCite \textit{V. I. Piterbarg} and \textit{Yu. N. Tyurin}, Math. Methods Stat. 2, No. 2, 147--164 (1993; Zbl 0798.62062)
Piterbarg, V. I.; Penskaya, M. Ya. On asymptotic distribution of integrated squared error of an estimate of a component of a convolution. (English) Zbl 0798.62026 Math. Methods Stat. 2, No. 1, 30-41 (1993). MSC: 62E20 62G07 PDFBibTeX XMLCite \textit{V. I. Piterbarg} and \textit{M. Ya. Penskaya}, Math. Methods Stat. 2, No. 1, 30--41 (1993; Zbl 0798.62026)
Konstant, D. G.; Piterbarg, V. I. Extreme values of the cyclostationary Gaussian random process. (English) Zbl 0768.60048 J. Appl. Probab. 30, No. 1, 82-97 (1993). MSC: 60G70 60G17 60F10 PDFBibTeX XMLCite \textit{D. G. Konstant} and \textit{V. I. Piterbarg}, J. Appl. Probab. 30, No. 1, 82--97 (1993; Zbl 0768.60048) Full Text: DOI
Piterbarg, V. I. On the distribution of the maximum similarity score for fragments of two random sequences. (English) Zbl 0790.62023 Gindikin, Simon (ed.), Mathematical methods of analysis of biopolymer sequences. Transl. from the Russian by Oksana Khleborodova. Providence, RI: American Mathematical Society. DIMACS, Ser. Discrete Math. Theor. Comput. Sci. 8, 11-18 (1992). MSC: 62E17 62P10 92D20 62E15 PDFBibTeX XMLCite \textit{V. I. Piterbarg}, DIMACS, Ser. Discrete Math. Theor. Comput. Sci. 8, 11--18 (1992; Zbl 0790.62023)
Kormosh, Ya.; Piterbarg, V. I. Nonstationarity test for a Gaussian time-series autoregressive model with close null and alternative hypotheses. (English. Russian original) Zbl 0782.62082 Probl. Inf. Transm. 27, No. 4, 334-338 (1991); translation from Probl. Peredachi Inf. 27, No. 4, 70-75 (1991). MSC: 62M10 62M07 62F03 PDFBibTeX XMLCite \textit{Ya. Kormosh} and \textit{V. I. Piterbarg}, Probl. Inf. Transm. 27, No. 4, 334--338 (1991; Zbl 0782.62082); translation from Probl. Peredachi Inf. 27, No. 4, 70--75 (1991)
Kormosh, Ya.; Piterbarg, V. I. Nonstationarity criterion for a Gaussian autoregression time series under a close alternative. (Russian) Zbl 0777.62087 Probl. Peredachi Inf. 27, No. 4, 70-75 (1991). MSC: 62M10 62M07 62F03 PDFBibTeX XMLCite \textit{Ya. Kormosh} and \textit{V. I. Piterbarg}, Probl. Peredachi Inf. 27, No. 4, 70--75 (1991; Zbl 0777.62087)
Piterbarg, V. I.; Taran, V. Exact asymptotics for large deviation probabilities of normalized Brownian bridge with applications to empirical processes. (English) Zbl 0729.60021 Comput. Math. Appl. 22, No. 7, 85-91 (1991). MSC: 60F10 60J65 PDFBibTeX XMLCite \textit{V. I. Piterbarg} and \textit{V. Taran}, Comput. Math. Appl. 22, No. 7, 85--91 (1991; Zbl 0729.60021) Full Text: DOI
Pikersgil’, E. A.; Piterbarg, V. I. An estimate of the rate of convergence in the Poisson approximation theorem for large excursions of a Gaussian stationary process. (English. Russian original) Zbl 0724.60025 J. Sov. Math. 53, No. 4, 419-424 (1991). MSC: 60F05 60G15 60G10 PDFBibTeX XMLCite \textit{E. A. Pikersgil'} and \textit{V. I. Piterbarg}, J. Sov. Math. 53, No. 4, 419--424 (1991; Zbl 0724.60025) Full Text: DOI
Piterbarg, V. I. On large jumps of a random walk. (English. Russian original) Zbl 0741.60067 Theory Probab. Appl. 36, No. 1, 50-62 (1991); translation from Teor. Veroyatn. Primen. 36, No. 1, 54-64 (1991). Reviewer: S.Grigorescu (Bucureşti) MSC: 60G50 PDFBibTeX XMLCite \textit{V. I. Piterbarg}, Theory Probab. Appl. 36, No. 1, 50--62 (1991; Zbl 0741.60067); translation from Teor. Veroyatn. Primen. 36, No. 1, 54--64 (1991) Full Text: DOI
Piterbarg, V. I. A remark on the strong invariance principle for a shot-effect process. (English. Russian original) Zbl 0738.60016 Theory Probab. Math. Stat. 43, 139-141 (1991); translation from Teor. Veroyatn. Mat. Stat., Kiev 43, 124-126 (1990). MSC: 60F05 60G10 PDFBibTeX XMLCite \textit{V. I. Piterbarg}, Theory Probab. Math. Stat. 43, 139--141 (1990; Zbl 0738.60016); translation from Teor. Veroyatn. Mat. Stat., Kiev 43, 124--126 (1990)
Piterbarg, V. I. Large deviations of trajectories in the central limit theorem for random processes: Some new results. (English) Zbl 0738.60021 Probability theory and mathematical statistics, Proc. 5th Vilnius Conf., Vilnius/Lith. 1989, Vol. II, 325-329 (1990). Reviewer: J.A.Víšek (Praha) MSC: 60F10 60G50 PDFBibTeX XMLCite \textit{V. I. Piterbarg}, in: Second order minimax estimation: the nuisance parameters and hypoelliptic operators. . 325--329 (1990; Zbl 0738.60021)
Pikersgil’, E. A.; Piterbarg, V. I. Rate of convergence estimate in Poisson limit theorem for large excursions of a stationary Gaussian process. (English. Russian original) Zbl 0793.60042 J. Sov. Math. 67, No. 4, 3223-3224 (1993); translation from Teor. Sluchajnykh Protsessov 16, 73-74 (1988). MSC: 60G15 60G10 PDFBibTeX XMLCite \textit{E. A. Pikersgil'} and \textit{V. I. Piterbarg}, J. Sov. Math. 67, No. 4, 1 (1988; Zbl 0793.60042); translation from Teor. Sluchajnykh Protsessov 16, 73--74 (1988) Full Text: DOI
Pikersgil’, E. A.; Piterbarg, V. I. On the question of estimation of the speed of convergence in the Poisson limit theorem for large outliers of a Gaussian stationary process. (Russian) Zbl 0669.60042 Teor. Sluchajnykh Protsessov 16, 73-74 (1988). MSC: 60G15 60G10 PDFBibTeX XMLCite \textit{E. A. Pikersgil'} and \textit{V. I. Piterbarg}, Teor. Sluch. Protsess. 16, 73--74 (1988; Zbl 0669.60042)
Zakharov, V. E.; Monin, A. S.; Piterbarg, L. I. Hamiltonian formalism for the Rossby waves and dirft waves in plasma. (English) Zbl 0666.76051 Plasma theory and nonlinear and turbulent processes in physics, Proc. Int. Workshop, Kiev/USSR 1987, Pt. 2, 754-776 (1988). Reviewer: K.M.Srivastava MSC: 76B65 76E20 PDFBibTeX XML
Belyaev, Yu. K.; Makarov, A. P.; Martynov, G. V.; Nosko, V. P.; Piterbarg, V. I.; Fatalov, V. R.; Chepurin, E. V.; Cherevichkina, N. I. Practical work on probability theory and mathematical statistics. (Praktikum po teorii veroyatnostej i matematicheskoj statistike.) (Russian) Zbl 0725.60001 Moskva: Izdatel’stvo Moskovskogo Universiteta. 92 p. R. 0.15 (1988). MSC: 60-01 62-01 PDFBibTeX XMLCite \textit{Yu. K. Belyaev} et al., Praktikum po teorii veroyatnostej i matematicheskoj statistike (Russian). Moskva: Izdatel'stvo Moskovskogo Universiteta (1988; Zbl 0725.60001)
Piterbarg, V. I. Asymptotic methods in the theory of Gaussian stochastic processes and fields. (Asimptoticheskie metody v teorii gaussovskikh sluchajnykh protsessov i polej.) (Russian) Zbl 0652.60045 Moskva: Izdatel’stvo Moskovskogo Universiteta. 176 p. R. 2.30 (1988). Reviewer: J.Cuzick MSC: 60G15 60-02 60G17 PDFBibTeX XMLCite \textit{V. I. Piterbarg}, Asimptoticheskie metody v teorii gaussovskikh sluchajnykh protsessov i polej (Russian). Moskva: Izdatel'stvo Moskovskogo Universiteta (1988; Zbl 0652.60045)
Pikersgil’, E. A.; Piterbarg, V. I. Estimation of the convergence rate in the Poisson limit theorem for large outliers of a Gaussian stationary process. (Russian) Zbl 0674.60025 Teor. Sluch. Protsess. 15, 74-79 (1987). Reviewer: Elisaveta Pancheva (Sofia) MSC: 60F05 60G15 60G10 PDFBibTeX XMLCite \textit{E. A. Pikersgil'} and \textit{V. I. Piterbarg}, Teor. Sluch. Protsess. 15, 74--79 (1987; Zbl 0674.60025)
Zakharov, V. E.; Piterbarg, L. I. Canonical variables for Rossby and drift waves in plasma. (English. Russian original) Zbl 0642.76130 Sov. Phys., Dokl. 32, No. 7, 560-561 (1987); translation from Dokl. Akad. Nauk SSSR 295, 86-90 (1987). MSC: 76X05 70H15 82D10 76B65 PDFBibTeX XMLCite \textit{V. E. Zakharov} and \textit{L. I. Piterbarg}, Sov. Phys., Dokl. 32, No. 7, 560--561 (1987; Zbl 0642.76130); translation from Dokl. Akad. Nauk SSSR 295, 86--90 (1987)
Zakharov, V. E.; Monin, A. S.; Piterbarg, L. I. Hamiltonian description of baroclinic Rossby waves. (English. Russian original) Zbl 0642.76030 Sov. Phys., Dokl. 32, No. 8, 626-627 (1987); translation from Dokl. Akad. Nauk SSSR 295, 1061-1064 (1987). MSC: 76B65 70H15 37J35 37K10 PDFBibTeX XMLCite \textit{V. E. Zakharov} et al., Sov. Phys., Dokl. 32, No. 8, 626--627 (1987; Zbl 0642.76030); translation from Dokl. Akad. Nauk SSSR 295, 1061--1064 (1987)
Piterbarg, V. I. On the asymptotics of the probability of a large excursion for a nonstationary Gaussian process. (English) Zbl 0559.60039 Theory Probab. Math. Stat. 28, 117-120 (1984). MSC: 60G17 60G15 60F10 PDFBibTeX XMLCite \textit{V. I. Piterbarg}, Theory Probab. Math. Stat. 28, 117--120 (1984; Zbl 0559.60039)
Konakov, V. D.; Piterbarg, V. I. On the convergence rate of maximal deviation distribution for kernel regression estimates. (English) Zbl 0554.62034 J. Multivariate Anal. 15, 279-294 (1984). Reviewer: W.J.Padgett MSC: 62G05 62G15 62J02 62J99 PDFBibTeX XMLCite \textit{V. D. Konakov} and \textit{V. I. Piterbarg}, J. Multivariate Anal. 15, 279--294 (1984; Zbl 0554.62034) Full Text: DOI
Piterbarg, V. I.; Simonova, I. Eh. Asymptotic expansions for the probabilities of large runs of nonstationary Gaussian processes. (Russian) Zbl 0553.60043 Math. Notes 35, 477-483 (1984); translation from Mat. Zametki 35, No. 6, 909-920 (1984). Reviewer: N.Leonenko MSC: 60G15 60F10 PDFBibTeX XMLCite \textit{V. I. Piterbarg} and \textit{I. Eh. Simonova}, Math. Notes 35, 477--483 (1984; Zbl 0553.60043); translation from Mat. Zametki 35, No. 6, 909--920 (1984) Full Text: DOI
Konakov, V. D.; Piterbarg, V. L. Rate of convergence of distributions of maximal deviations of Gaussian processes and empirical density functions. II. (English) Zbl 0547.62031 Theory Probab. Appl. 28, 172-178 (1984). MSC: 62G15 62G05 62G30 60F10 PDFBibTeX XMLCite \textit{V. D. Konakov} and \textit{V. L. Piterbarg}, Theory Probab. Appl. 28, 172--178 (1984; Zbl 0547.62031) Full Text: DOI