Extremes of vector-valued Gaussian processes with trend
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Abstract: Let be a centered vector-valued Gaussian process with independent components and continuous trajectories, and be a vector-valued continuous function. We investigate the asymptotics of mathbb{P}left(sup_{tin mathcal{T} } min_{1leq ileq n}(X_i(t)+h_i(t))>u
ight) as . As an illustration to the derived results we analyze two important classes of : with locally-stationary structure and with varying variances of the coordinates, and calculate exact asymptotics of simultaneous ruin probability and ruin time in a Gaussian risk model.
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Cited in
(17)- Extremes of threshold-dependent Gaussian processes
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