On the Distribution of the Last Exit Time over a Slowly Growing Linear Boundary for a Gaussian Process

DOI10.1137/S0040585X97T990435zbMath1479.60075arXiv2012.03222OpenAlexW3210203337MaRDI QIDQ5163518

N. A. Karagodin, Mikhail Lifshits

Publication date: 4 November 2021

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2012.03222

zbMATH Keywords

Gaussian processlimit theoremlast exit timedouble exponential law

Mathematics Subject Classification ID

Gaussian processes (60G15)

Related Items (2)

The asymptotic relation between the first crossing point and the last exit time of Gaussian order statistics sequences ⋮ A limit theorem for the last exit time over a moving nonlinear boundary for a Gaussian process

Cites Work

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• On first and last ruin times of Gaussian processes
• The time of ultimate recovery in Gaussian risk model
• First and last passage times of spectrally positive Lévy processes with application to reliability
• Breaking a Chain of Interacting Brownian Particles: A Gumbel Limit Theorem
• Asymptotic Properties of the Maximum in a Stationary Gaussian Process
• Limit Theorems for the Maximum Term in Stationary Sequences

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