Extreme sojourns of a Gaussian process with a point of maximum variance (Q1071379): Difference between revisions

Let X(t), \(0\leq t\leq 1\), be a Gaussian process with mean 0 and continuous covariance function. Put \(\sigma^ 2(t)=EX^ 2(t)\), and suppose that there is a point \(\tau\) in [0,1] such that \(\sigma^ 2(t)\) has unique maximum at \(t=\tau\). Put \(L_ u=mes(s:0\leq s\leq 1,X(s)>u).\) Under suitable conditions there exists a function \(v=v(u)\) and a distribution function G(x), \(x>0\), such that v(u)\(\to \infty\) for \(u\to \infty\), and \[ \lim_{u\to \infty}\int^{x}_{0}ydP(vL_ u\leq y)/vEL_ u=G(x). \]