Extremes of multidimensional Gaussian processes

DOI10.1016/J.SPA.2010.08.010MaRDI QIDQ608210zbMATH OpenOpenAlexFDO

Authors Tomasz Rolski, Krzysztof Dȩbicki, K. M. Kosiński, M. R. H. Mandjes

Publication date 25 November 2010

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

Full work available at URL https://arxiv.org/abs/1006.0029, https://pure.uva.nl/ws/files/989367/83607_Kosinski_Mandjes_enz_StochProc_Appl_2010.pdf

zbMATH Keywords

Gaussian processextremeslogarithmic asymptoticsexceedances

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70)

Abstract: This paper considers extreme values attained by a centered, multidimensional Gaussian process $X(t)=(X_1(t),ldots,X_n(t))$ minus drift $d(t)=(d_1(t),ldots,d_n(t))$, on an arbitrary set $T$. Under mild regularity conditions, we establish the asymptotics of [logmathbb Pleft(exists{tin T}:�igcap_{i=1}^nleft{X_i(t)-d_i(t)>q_iu ight} ight),] for positive thresholds $q_i>0$, $i=1,ldots,n$, and $uoinfty$. Our findings generalize and extend previously known results for the single-dimensional and two-dimensional cases. A number of examples illustrate the theory.

Recommendations

• Extrema of multi-dimensional Gaussian processes over random intervals
• Extremes of vector-valued Gaussian processes: exact asymptotics
• Extremes of threshold-dependent Gaussian processes
• Extremes of a certain class of Gaussian processes
• Extremes of vector-valued Gaussian processes with trend

Cites work

• scientific article; zbMATH DE number 51414 (Why is no real title available?)
• scientific article; zbMATH DE number 782652 (Why is no real title available?)
• scientific article; zbMATH DE number 846847 (Why is no real title available?)
• A note on LDP for supremum of Gaussian processes over infinite horizon
• A two-dimensional ruin problem on the positive quadrant
• Asymptotics and bounds for multivariate Gaussian tails
• Conditional limit theorems for queues with Gaussian input, a weak convergence approach
• Crude asymptotics of the probability of simultaneous high extrema of two Gaussian processes: the dual action functional
• Extremes of Gaussian processes over an infinite horizon
• Extremes of a certain class of Gaussian processes
• Large Deviations for Gaussian Queues
• Large deviations and overflow probabilities for the general single-server queue, with applications

Cited in

(35)

• Extremes of Gaussian processes over an infinite horizon
• Exact quantiles of Gaussian process extremes
• Uniform tail approximation of homogenous functionals of Gaussian fields
• Extremal ranks and transformation of variables for extremes of functions of multivariate Gaussian processes
• Extremes of vector-valued Gaussian processes: exact asymptotics
• LOWER TAIL INDEPENDENCE OF HITTING TIMES OF TWO-DIMENSIONAL DIFFUSIONS
• A note on the estimates of multivariate Gaussian probability
• Asymptotics and bounds for multivariate Gaussian tails
• Extremal behavior of hitting a cone by correlated Brownian motion with drift
• Extrema of multi-dimensional Gaussian processes over random intervals
• Extremes and crossings for differentiable stationary processes with application to Gaussian processes in \(\mathbb{R}{}^ m\) and Hilbert space
• Exact asymptotics of component-wise extrema of two-dimensional Brownian motion
• Boundary non-crossing probabilities of Gaussian processes: sharp bounds and asymptotics
• Extremes of the standardized Gaussian noise
• Tail approximation for reinsurance portfolios of Gaussian-like risks
• Finite-time ruin probability for correlated Brownian motions
• Bounds for expected supremum of fractional Brownian motion with drift
• Extremes and First Passage Times of Correlated Fractional Brownian Motions
• Efficient simulation of Brown-Resnick processes based on variance reduction of Gaussian processes
• Logarithmic asymptotics for multidimensional extremes under nonlinear scalings
• Extremes of vector-valued Gaussian processes with trend
• Extremes of independent Gaussian processes
• Extremes of locally-homogenous vector-valued Gaussian processes
• Crude asymptotics of the probability of simultaneous high extrema of two Gaussian processes: the dual action functional
• Large deviations of bivariate Gaussian extrema
• Probability of entering an orthant by correlated fractional Brownian motion with drift: exact asymptotics
• Parisian ruin probability for two-dimensional Brownian risk model
• Extremes of threshold-dependent Gaussian processes
• Large deviations for perturbed Gaussian processes and logarithmic asymptotic estimates for some exit probabilities
• Extreme value theory for a sequence of suprema of a class of Gaussian processes with trend
• Extremes of vector-valued Gaussian processes
• Double extreme on joint sets for Gaussian random fields
• Method of moments for exit probabilities of Gaussian vector processes from a large region
• Tail asymptotics for Shepp-statistics of Brownian motion in \(\mathbb{R}^d \)
• Cumulative Parisian ruin probability for two-dimensional Brownian risk model

This page was built for publication: Extremes of multidimensional Gaussian processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q608210)