Tail approximations of integrals of Gaussian random fields (Q428142): Difference between revisions

Let \(f=\{f(t), t\in T\}\) be a homogeneous centered Gaussian random field such that \(\operatorname{E}f^2(t)=1\) for \(t\in T\), where \(T\) is a \(d\)-dimensional Jordan-measurable compact subset of \(\mathbb{R}^d\). Assume that \(f\) is almost surely three times continuously differentiable. Moreover, let the Hessian matrix of the field covariance function at the origin be \(-I\), where \(I\) is the \(d\times d\) identity matrix. Consider \[ I_{\sigma}(A):=\int_A \exp(\sigma f(t))\, dt, \] where \(\sigma >0\) and \(A\) is a Jordan-measurable subset of \(T\). For a given \(\sigma >0\) and \(b\) large enough, introduce \(u\) as the unique solution of the equation \[ (2\pi/\sigma)^{d/2}u^{-d/2}e^{\sigma u}=b. \] Then \[ \operatorname{P}(I_{\sigma}(T) >b) = (1+o(1))H\operatorname{mes}(T) u^{d-1}\exp(-u^2/2),\quad b\to \infty. \] Here, \(\operatorname{mes}\) is the Lebesgue measure and the explicit formula for \(H\) (depending on \(\sigma\) and other parameters) is provided. The study of the behavior of such integrals is important, e.g., for models involving spatial point processes and for portfolio risk analysis. At first, the author evaluates \(\operatorname{P}(I_{\sigma}(\Xi) >b)\) for a small domain \(\Xi\) depending on \(b\) where \(\operatorname{mes}(\Xi)\to 0\) as \(b\to \infty\). After that, it is demonstrated that for an appropriate choice of \(\Xi\) the following relation holds \[ \operatorname{P}(I_{\sigma}(T) >b) =(1+o(1))\frac{\operatorname{mes}(T)}{\operatorname{mes}(\Xi)} \operatorname{P}( I_{\sigma}(\Xi) >b),\quad b\to \infty. \]