Hermite polynomial expansion for non-smooth functionals of stationary Gaussian processes: Crossings and extremes

DOI10.1016/S0304-4149(96)00122-6zbMath0890.60034OpenAlexW1970447039MaRDI QIDQ1382511

Marie F. Kratz, José Rafael León

Publication date: 29 March 1998

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

Full work available at URL: https://doi.org/10.1016/s0304-4149(96)00122-6

zbMATH Keywords

stationary Gaussian processHermite expansionHermite polynomialWiener chaos

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07)

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