A note on LDP for supremum of Gaussian processes over infinite horizon

DOI10.1016/S0167-7152(99)00011-5zbMath0943.60040OpenAlexW2120875449WikidataQ127015653 ScholiaQ127015653MaRDI QIDQ1962198

Krzysztof Dȩbicki

Publication date: 4 September 2000

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(99)00011-5

zbMATH Keywords

fractional Brownian motionBrownian motionGaussian processlarge deviationlong range dependenceexponential boundlogarithmic asymptotic

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Performance evaluation, queueing, and scheduling in the context of computer systems (68M20)

Related Items (14)

Extremes of threshold-dependent Gaussian processes ⋮ On convergence to stationarity of fractional Brownian storage ⋮ Large buffer asymptotics for generalized processor sharing queues with Gaussian inputs ⋮ Extremes of multidimensional Gaussian processes ⋮ Steady-state GI/G/\(n\) queue in the Halfin-Whitt regime ⋮ Editorial introduction: special issue on Gaussian queues ⋮ Efficient Simulation for the Maximum of Infinite Horizon Discrete-Time Gaussian Processes ⋮ Extremes of Gaussian processes over an infinite horizon ⋮ Conditional limit theorems for queues with Gaussian input, a weak convergence approach ⋮ Ruin probability for Gaussian integrated processes. ⋮ Reduced-load equivalence for Gaussian processes ⋮ Subexponential asymptotics of hybrid fluid and ruin models ⋮ On the Dependence Structure of Gaussian Queues ⋮ Transient characteristics of Gaussian queues

Cites Work

• A Gaussian fluid model
• Heavy Tails and Long Range Dependence in On/Off Processes and Associated Fluid Models
• Large deviations and overflow probabilities for the general single-server queue, with applications
• Large buffer asymptotics for the queue with fractional Brownian input
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