Extremes of Gaussian processes with random variance

zbMath1231.60030MaRDI QIDQ638436

Yueming Zhang, Juerg Hüsler, Vladimir I. Piterbarg

Publication date: 9 September 2011

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: http://www.emis.de/journals/EJP-ECP/_ejpecp/viewarticle6d29.html

zbMATH Keywords

Gaussian processesfractional Brownian motionsruin probabilityrandom variancelocally stationary

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70)

Related Items (8)

Extremes of Gaussian fields with a smooth random variance ⋮ Minima and maxima of elliptical arrays and spherical processes ⋮ Extremes ofγ-reflected Gaussian processes with stationary increments ⋮ Some asymptotic results of Gaussian random fields with varying mean functions and the associated processes ⋮ Unnamed Item ⋮ Efficient simulations for the exponential integrals of Hölder continuous gaussian random fields ⋮ Extremes of Gaussian processes with a smooth random variance ⋮ On the conditional distributions and the efficient simulations of exponential integrals of Gaussian random fields

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