Extremes of Gaussian processes with smooth random expectation and smooth random variance

DOI10.1007/S10986-017-9347-2MaRDI QIDQ2627902zbMATH OpenOpenAlexFDO

Authors V. I. Piterbarg, Goran Popivoda, Siniša Stamatović

Publication date 1 June 2017

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10986-017-9347-2

zbMATH Keywords

extremesGaussian processrandom expectationrandom variancestationary random process

Mathematics Subject Classification ID

Limit theorems in probability theory (60F99) Stationary stochastic processes (60G10) Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70)

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Cites work

• Asymptotics of random contractions
• Extremes and related properties of random sequences and processes
• Extremes of Gaussian processes with a smooth random trend
• Extremes of Gaussian processes with a smooth random variance
• scientific article; zbMATH DE number 3518027 (Why is no real title available?)
• scientific article; zbMATH DE number 846847 (Why is no real title available?)
• Level Sets and Extrema of Random Processes and Fields
• The expected number of level crossings for stationary, harmonisable, symmetric, stable processes
• Twenty lectures about Gaussian processes

Cited in

(11)

• Extremes of a certain class of Gaussian processes
• Extremes of Gaussian processes, on results of Piterbarg and Seleznjev
• Limit theorems for supremum of Gaussian processes over a random interval
• Exact tail asymptotics of the supremum of strongly dependent Gaussian processes over a random interval
• Extremes of Gaussian fields with a smooth random variance
• On the tail asymptotics of supremum of stationary -processes with random trend
• Extremes of Gaussian processes with a smooth random trend
• Extremes of reflecting Gaussian processes on discrete grid
• Extremes of Gaussian processes with random variance
• Sojourn times of Gaussian processes with random parameters
• Extremes of Gaussian processes with a smooth random variance

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