Exact tail asymptotics of the supremum of strongly dependent Gaussian processes over a random interval (Q2393662): Difference between revisions

Let \((X_t)_{t\geq 0}\) be a zero-mean and unit-variance stationary Gaussian process. The study of the asymptotic behavior of \(P\left(\sup_{t\in[0,T]}X_t>u\right)\) as \(u\to\infty\) for a finite constant \(T>0\) is, typically, easier to deal with than for the case \(T=\infty\). This paper investigates the asymptotic behavior if \(T\) is substituted by a positive random variable \(\mathcal T\) that is independent of \((X_t)_{t\geq 0}\). It is shown that under appropriate conditions \(P\left(\sup_{t\in[0,\mathcal T]}X_t>u\right)=c^\lambda P(\mathcal T>m(u))(1+o(1))\), where the constant \(\lambda\in[0,1)\) depends on \(\mathcal T\), \(c\) is a positive constant and the function \(m(\cdot)\) is defined in terms of the local behavior of the correlation function of the Gaussian process.