Extremes of Gaussian processes with a smooth random variance

DOI10.1016/j.spa.2011.06.006zbMath1228.60059OpenAlexW2053403721MaRDI QIDQ719775

Ekaterina Rumyantseva, Vladimir I. Piterbarg, Juerg Hüsler

Publication date: 11 October 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2011.06.006

zbMATH Keywords

fractional Brownian motionGaussian processlarge deviationsruin probabilityextremesrandom variancelocally stationaryconditional Gaussian process

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70)

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Cites Work

• Extremes of Gaussian processes with random variance
• The expected number of level crossings for stationary, harmonisable, symmetric, stable processes
• Analysis I. Integral presentations asymptotic methods
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