An asymptotic bound for the tail of the distribution of the maximum of a Gaussian process

zbMath0605.60043MaRDI QIDQ1083756

Simeon M. Berman

Publication date: 1985

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AIHPB_1985__21_1_47_0

zbMATH Keywords

Fernique inequalitymaximum of a real sample path

Mathematics Subject Classification ID

Gaussian processes (60G15) Sample path properties (60G17)

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Upper classes for the increments of fractional Wiener processes ⋮ Bismut type derivative formulae and gradient estimate for multiplicative SDEs with fractional noises ⋮ Extremes ofγ-reflected Gaussian processes with stationary increments ⋮ Large deviations for high minima of Gaussian processes with nonnegatively correlated increments ⋮ Hypercontractivity for functional stochastic differential equations ⋮ Fernique-type inequalities and moduli of continuity for anisotropic Gaussian random fields ⋮ Efficient Estimation of One-Dimensional Diffusion First Passage Time Densities via Monte Carlo Simulation ⋮ Bismut formulas and applications for stochastic (functional) differential equations driven by fractional Brownian motions ⋮ Path properties of a generalized fractional Brownian motion

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