Extremal processes with one jump

DOI10.1023/A:1009949016975MaRDI QIDQ5942930zbMATH OpenFDO

Authors August A. Balkema, Elisaveta Pancheva

Publication date 16 September 2001

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/A:1009949016975

zbMATH Keywords

process with independent max-incrementsSkorokhod topologytotal dependence

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Extreme value theory; extremal stochastic processes (60G70)

Review text

A stochastic process \(Y\) with right-continuous increasing sample paths is called an extremal process if it has ``independent max-increments, i.e. for any \(0=t_0<t_1<\dots<t_m\) there exist independent r.v.'s \(U_0\), \dots, \(U_m\) such that the vector \((Y(t_0),\dots,Y(t_m))\) has the same distribution as \((U_0,\max(U_0,U_1),\dots,\max(U_0,\dots,U_m))\). The paper is devoted to the description of such processes and their convergence in the Skorokhod topology \(D([0,\infty))\). E.g., it is shown that any univariate extremal process is a limit in \(D([0,\infty))\) of stochastically continuous extremal processes. One of the presented results is the following (the function \(g(t)=E e^{-Y(t)}\) is called the weight of the extremal process \(Y\)): Let \(Y_n\) be extremal processes for \(n>0\) and let \(Y_n\) converge weakly to \(Y_0\) in \(D([0,\infty))\). Then the fixed jumps of \(Y_n\) converge to \(Y_0\) iff the weights of \(Y_n\) converge in \(D([0,\infty))\). (It is said that the fixed jumps of \(Y_n\) converge to \(Y_0\) iff for any fixed discontinuity \(t\) of \(Y_0\) there exists \(t_n\to t\) such that \((Y_n(t_n-0),Y_n(t_n))\) converges weakly to \((Y(t-0),Y(t))\) as \(n\to\infty\)).

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Cited in

(5)

• A note on weak convergence to extremal processes
• scientific article; zbMATH DE number 3975999 (Why is no real title available?)
• Decomposition for multivariate extremal processes
• Relative extreme values and extremum-times of jump process: Upward type
• Small-time almost-sure behaviour of extremal processes

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