Uniform tail approximation of homogenous functionals of Gaussian fields

DOI10.1017/apr.2017.33zbMath1425.60036arXiv1607.01430OpenAlexW2962737291MaRDI QIDQ5233200

Peng Liu, Krzysztof Dȩbicki, Enkelejd Hashorva

Publication date: 16 September 2019

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.01430

zbMATH Keywords

fractional Brownian motionstationary processgeneralized Piterbarg constantuniform double-sum methoddouble maximasupremum of Gaussian random fields

Mathematics Subject Classification ID

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

Related Items (21)

Extremes of threshold-dependent Gaussian processes ⋮ Extremes of vector-valued Gaussian processes with trend ⋮ Extrema of a Gaussian random field: Berman's sojourn time method ⋮ Pickands-Piterbarg constants for self-similar Gaussian processes ⋮ Extremes of L^p-norm of vector-valued Gaussian processes with trend ⋮ Approximation of Kolmogorov–Smirnov test statistic ⋮ Approximation of sojourn times of Gaussian processes ⋮ Extremes of Gaussian random fields with regularly varying dependence structure ⋮ Estimation of change-point models ⋮ Sojourns of fractional Brownian motion queues: transient asymptotics ⋮ Extremes of vector-valued Gaussian processes ⋮ On generalised Piterbarg constants ⋮ Unnamed Item ⋮ Sojourn times of Gaussian processes with trend ⋮ On generalized Berman constants ⋮ Ruin problem of a two-dimensional fractional Brownian motion risk process ⋮ Extremes of nonstationary Gaussian fluid queues ⋮ Tail asymptotics for Shepp-statistics of Brownian motion in \(\mathbb{R}^d \) ⋮ Drawdown and drawup for fractional Brownian motion with trend ⋮ Extremes of spherical fractional Brownian motion ⋮ The time of ultimate recovery in Gaussian risk model

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