Extremes of vector-valued Gaussian processes
From MaRDI portal
Publication:2196388
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
operator fractional Brownian motionvector-valued Gaussian processhigh exceedance probabilityoperator fractional Ornstein-Uhlenbeck processesuniform double-sum methodvector-valued Borell-TIS inequality
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
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Extremes of a class of nonhomogeneous Gaussian random fields
- Extremes of vector-valued Gaussian processes: exact asymptotics
- Extremes of multidimensional Gaussian processes
- Integral representations and properties of operator fractional Brownian motions
- Hitting probabilities and large deviations
- Numerical methods for controlled stochastic delay systems
- Sojourns and extremes of stationary processes
- Large exceedances for multidimensional Lévy processes
- Extremes of threshold-dependent Gaussian processes
- Extremal behavior of hitting a cone by correlated Brownian motion with drift
- Large deviations of a storage process with fractional Brownian motion as input
- A test for a conjunction
- The exact asymptotics for hitting probability of a remote orthant by a multivariate Lévy process: the Cramér case
- On some global measures of the deviations of density function estimates
- On maximum of Gaussian random field having unique maximum point of its variance
- Extremes of Gaussian processes over an infinite horizon
- Maxima of asymptotically Gaussian random fields and moderate deviation approximations to boundary crossing probabilities of sums of random variables with multidimensional indices
- Simultaneous ruin probability for two-dimensional brownian risk model
- Level Sets and Extrema of Random Processes and Fields
- Lipschitz Continuity for Constrained Processes
- Method of Moments for Exit Probabilities of Gaussian Vector Processes From a Large Region
- High Extremes of Gaussian Chaos Processes: A Discrete Time Approximation Approach
- Basic properties of the Multivariate Fractional Brownian Motion
- The exact asymptotics of the large deviation probabilities in the multivariate boundary crossing problem
- Uniform tail approximation of homogenous functionals of Gaussian fields
- Logarithmic Asymptotics for Multidimensional Extremes Under Nonlinear Scalings
- Random Fields and Geometry
- Crude asymptotics of the probability of simultaneous high extrema of two Gaussian processes: the dual action functional
- Maxima of stationary Gaussian processes
- Asymptotic Properties of the Maximum in a Stationary Gaussian Process
This page was built for publication: Extremes of vector-valued Gaussian processes
