Extremes and crossings for differentiable stationary processes with application to Gaussian processes in \(\mathbb{R}{}^ m\) and Hilbert space (Q1193403): Difference between revisions

Let \(\{\omega(t),\;t\geq 0\}\) be a stochastically differentiable stationary process in \(\mathbb{R}^ m\) and let \(\{A_ u\}\) be a family of open subsets of \(\mathbb{R}^ m\) such that \(\lim_{u\uparrow u_ 2}P\{\omega(0)\in A_ u\}=0\). The author develops a general theory for finding the asymptotic behaviour of \(P\{\bigcup_{0\leq t\leq h}\{\omega(t)\in A_ u\}\}\) as \(u\uparrow u_ 2\). He uses his theory to study the case \(A_ u\sim(1/u)A\) as \(u\to\infty\), for some set \(A\subseteq\mathbb{R}^ m\), and gives an application to Gaussian processes. The author also studies suprema of processes in \(\mathbb{R}\) with application to (the norm of) Gaussian processes in Hilbert space.