Extremes of Gaussian processes over an infinite horizon
From MaRDI portal
Publication:2485824
DOI10.1016/j.spa.2004.09.005zbMath1070.60035OpenAlexW2147353525MaRDI QIDQ2485824
Publication date: 5 August 2005
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://research.utwente.nl/en/publications/extremes-of-gaussian-processes-over-an-infinite-horizon(94f08aa1-8002-47be-93cb-ca32e2068b65).html
Related Items
Extremes of a class of nonhomogeneous Gaussian random fields ⋮ Extremes of threshold-dependent Gaussian processes ⋮ Extremes of stationary Gaussian storage models ⋮ Parisian ruin over a finite-time horizon ⋮ Parisian ruin of self-similar Gaussian risk processes ⋮ Extremes of vector-valued Gaussian processes with trend ⋮ Extremes of Gaussian chaos processes with trend ⋮ Bounds for the expected supremum of some non-stationary Gaussian processes ⋮ Exact asymptotics of Gaussian-driven tandem queues ⋮ Extremes of \(\alpha(t)\)-locally stationary Gaussian processes with non-constant variances ⋮ Extrema of multi-dimensional Gaussian processes over random intervals ⋮ Parisian ruin of the Brownian motion risk model with constant force of interest ⋮ Exact tail asymptotics of the supremum of strongly dependent Gaussian processes over a random interval ⋮ Extremes of Lp-norm of vector-valued Gaussian processes with trend ⋮ Gaussian risk models with financial constraints ⋮ Extremes ofγ-reflected Gaussian processes with stationary increments ⋮ Extremes of Gaussian random fields with regularly varying dependence structure ⋮ Extremes of multidimensional Gaussian processes ⋮ Open problems in Gaussian fluid queueing theory ⋮ Estimation of change-point models ⋮ On the maxima of suprema of dependent Gaussian models ⋮ Sojourns of fractional Brownian motion queues: transient asymptotics ⋮ An Erdös-Révész type law of the iterated logarithm for reflected fractional Brownian motion ⋮ On average losses in the ruin problem with fractional Brownian motion as input ⋮ Extremes of reflecting Gaussian processes on discrete grid ⋮ Extremes of vector-valued Gaussian processes ⋮ Extreme value theory for a sequence of suprema of a class of Gaussian processes with trend ⋮ Cumulative Parisian ruin probability for two-dimensional Brownian risk model ⋮ Unnamed Item ⋮ Sojourn times of Gaussian processes with trend ⋮ A heavy traffic approach to modeling large life insurance portfolios ⋮ On generalized Berman constants ⋮ On first and last ruin times of Gaussian processes ⋮ Extremes of vector-valued Gaussian processes: exact asymptotics ⋮ The joint distribution of running maximum of a Slepian process ⋮ Ruin problem of a two-dimensional fractional Brownian motion risk process ⋮ Asymptotics of Maxima of Strongly Dependent Gaussian Processes ⋮ Extremes of standard multifractional Brownian motion ⋮ Efficient Simulation for the Maximum of Infinite Horizon Discrete-Time Gaussian Processes ⋮ A limit theorem for the time of ruin in a Gaussian ruin problem ⋮ Asymptotics of supremum distribution of \(\alpha (t)\)-locally stationary Gaussian processes ⋮ Fuzzy set-valued stochastic Lebesgue integral ⋮ Conditional limit theorems for queues with Gaussian input, a weak convergence approach ⋮ A note on the estimates of multivariate Gaussian probability ⋮ Extremes of nonstationary Gaussian fluid queues ⋮ On the \(\gamma\)-reflected processes with fBm input ⋮ On the Dependence Structure of Gaussian Queues ⋮ Drawdown and drawup for fractional Brownian motion with trend ⋮ Uniform tail approximation of homogenous functionals of Gaussian fields ⋮ A Lévy Process Reflected at a Poisson Age Process ⋮ Sample path properties of reflected Gaussian processes ⋮ The time of ultimate recovery in Gaussian risk model ⋮ Bounds for expected supremum of fractional Brownian motion with drift ⋮ Conditional limit theorems for regulated fractional Brownian motion ⋮ Reduced-load equivalence for queues with Gaussian input ⋮ Derivative of the expected supremum of fractional Brownian motion at \(H=1\) ⋮ Finite-time ruin probability for correlated Brownian motions
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Extremes and related properties of random sequences and processes
- On extremal theory for self-similar processes
- The first crossing-time density for Brownian motion with perturbed linear boundary
- A note on transient Gaussian fluid models
- Extremes of a certain class of Gaussian processes
- Ruin probability for Gaussian integrated processes.
- Path space large deviations of a large buffer with Gaussian input traffic
- A Gaussian fluid model
- A note on LDP for supremum of Gaussian processes over infinite horizon
- Taylor expansions of curve-crossing probabilities
- On-off fluid models in heavy traffic environment
- On the ruin probability for physical fractional Brownian motion
- Conditional limit theorems for queues with Gaussian input, a weak convergence approach
- The first-passage density of the Brownian motion process to a curved boundary
- On the supremum distribution of integrated stationary Gaussian processes with negative linear drift
- Simulation of the Asymptotic Constant in Some Fluid Models
- Exact overflow asymptotics for queues with many Gaussian inputs
- Use of the supremum distribution of Gaussian Processes in queueing analysis with long-range Dependence and self-similarity
- Semi-Stable Stochastic Processes
- Large deviations and overflow probabilities for the general single-server queue, with applications
- The Laplace method for probability measures in Banach spaces
- Large buffer asymptotics for the queue with fractional Brownian input
- Upcrossing Probabilities for Stationary Gaussian Processes
- Asymptotic Properties of the Maximum in a Stationary Gaussian Process
- Maximum and High Level Excursion of a Gaussian Process with Stationary Increments
- Asymptotic Properties of Gaussian Processes