Extremes of reflecting Gaussian processes on discrete grid

Abstract: For

X (t), t i n G_{d} e l t a

a centered Gaussian process with stationary increments and a.s. sample paths on a discrete grid

G_{d} e l t a = 0, d e l t a, 2 d e l t a, ...

, where

d e l t a > 0

, we investigate the stationary reflected process

Q_{delta,X}(t) = suplimits_{sin [t,infty)cap G_delta}�ig( X(s)-X(t)-c(s-t)�ig), t in G_delta

with

c > 0

. We derive the exact asymptotics of

mathbb P{suplimits_{tin [0,T]cap G_delta} Q_{delta,X}(t)>u} quad ext{and} quad mathbb P{inflimits_{tin [0,T]cap G_delta} Q_{delta,X}(t)>u},

as

u o i n f t y

, with

T > 0

. It appears that

v a r p h i = l i m_{u o i n f t y} f r a c s i g m a^{2} (u) u

determines the asymptotics, leading to three qualitatively different scenarios:

v a r p h i = 0

,

v a r p h i i n (0, i n f t y)

and

v a r p h i = i n f t y

.

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