On the distribution of the maximum of a Gaussian field with \(d\) parameters (Q1774218)
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English | On the distribution of the maximum of a Gaussian field with \(d\) parameters |
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On the distribution of the maximum of a Gaussian field with \(d\) parameters (English)
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29 April 2005
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Let \(I\) be a compact \(d\)-dimensional \(C^\infty\)-manifold and let \(X : I \to \mathbb{R}\) be a Gaussian field such that the triplet \((X(s), X(t), X'(t))\) has a nondegenerate distribution in \(\mathbb{R} \times \mathbb{R} \times \mathbb{R}^d\) for every \(t \not= s\). Here, \(X'\) denotes the derivative of \(X\). Then it is shown that the distribution function \(F_I : u \mapsto F_I(u)\) of the random variable \(M_I := \sup_{t \in I} X(t)\) is of class \(C^1\), and an expresion for the derivative \(F_I'(u)\) is obtained. The latter is used to derive upper bounds for \(F_I'(u)\) and the asymptotic behaviour of \(F_I'(u)\) as \(u\to\infty\). This extends results of the authors [Probab. Theory Relat. Fields 119, No. 1, 70--98 (2001; Zbl 0970.60042)], where dimension \(d=1\) was considered. The proofs rely on extensions of the Rice-formulae, which give expressions for the moments of the number of roots of an equation of the form \(Z(t)=x\), where \(Z: J \to \mathbb{R}^d\) is a (Gaussian) random field on \(J \subset \mathbb{R}^d\) and \(x\in \mathbb{R}^d\) is fixed.
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Rice formula
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regularity of the distribution of the maximum
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