Remarks on Pickands theorem

zbMath1393.60035arXiv0904.3832MaRDI QIDQ4578303

Zbigniew Michna

Publication date: 8 August 2018

Full work available at URL: https://arxiv.org/abs/0904.3832

zbMATH Keywords

fractional Brownian motionstationary Gaussian processPickands constantsupremum of a process

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Extreme value theory; extremal stochastic processes (60G70)

Related Items (15)

Extremes of threshold-dependent Gaussian processes ⋮ Representations of \(\max\)-stable processes via exponential tilting ⋮ Pickands-Piterbarg constants for self-similar Gaussian processes ⋮ Approximation of sojourn times of Gaussian processes ⋮ Extremes ofγ-reflected Gaussian processes with stationary increments ⋮ Approximation of ruin probability and ruin time in discrete Brownian risk models ⋮ Simultaneous ruin probability for two-dimensional brownian risk model ⋮ Extremes of a class of non-stationary Gaussian processes and maximal deviation of projection density estimates ⋮ Ruin problem of a two-dimensional fractional Brownian motion risk process ⋮ Sup-norm convergence rates for Lévy density estimation ⋮ Tail asymptotic behavior of the supremum of a class of chi-square processes ⋮ Breaking a chain of interacting Brownian particles ⋮ Unnamed Item ⋮ Pickands’ constant at first order in an expansion around Brownian motion ⋮ A limit theorem for the last exit time over a moving nonlinear boundary for a Gaussian process

Cites Work

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• Some Properties of Generalized Pickands Constants
• Upcrossing Probabilities for Stationary Gaussian Processes
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