Extremes of vector-valued Gaussian processes

DOI10.1016/j.spa.2020.04.008zbMath1454.60049arXiv1911.06350OpenAlexW3023292496MaRDI QIDQ2196388

Krzysztof Dȩbicki, Enkelejd Hashorva, Longmin Wang

Publication date: 2 September 2020

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1911.06350

zbMATH Keywords

operator fractional Brownian motionvector-valued Gaussian processhigh exceedance probabilityoperator fractional Ornstein-Uhlenbeck processesuniform double-sum methodvector-valued Borell-TIS inequality

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70)

Related Items (8)

Extrema of multi-dimensional Gaussian processes over random intervals ⋮ Simultaneous ruin probability for multivariate Gaussian risk model ⋮ The harmonic mean formula for random processes ⋮ A matrix-valued Schoenberg's problem and its applications ⋮ Cumulative Parisian ruin probability for two-dimensional Brownian risk model ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Exact asymptotics of component-wise extrema of two-dimensional Brownian motion

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