Probabilities of high excursions of Gaussian fields
Let \(\xi(t)\) be a differentiable (in the mean-square sense) Gaussian random field with \(\operatorname{E}[\xi(t)] = 0\), \(\operatorname{Var}[\xi(t)] = 1\), and continuous trajectories on the \(d\)-dimensional interval \({\mathcal T} \subset \mathbb{R}^d\). The paper studies the problem of large excursions of the random field \(\xi\). More precisely, the probability \(\mathbb{P} = \operatorname{P}\bigl(-v(t) \leq \xi(t) \leq u(t) : t \in {\mathcal T} \bigr)\) is studied, where it is assumed that \(u(t),v(t) \to \infty\) uniformly for all \(t \in \mathcal{T}\). It is shown that \(\mathbb{P} = e^{-Q} + Q\,o(1)\), where \(Q\) depends on \({\mathcal T},u,v\) and the covariance function of \(\xi\). As an application, some well-known results in the literature are recovered.
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- scientific article; zbMATH DE number 227734
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- On high-level exceedances of Gaussian fields and the spectrum of random Hamiltonians
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- The Investigation of High-Level Excursions of Gaussian Fields: A Fresh Approach Involving Convexity
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- The Local Structure of a Homogeneous Gaussian Random Field in a Neighborhood of High Level Points
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- Massive excursions of Gaussian isotropic fields. Method of moments
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- On the excursion area of perturbed Gaussian fields
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- On high-level exceedances of i. i. d. random fields
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- The supremum of a particular Gaussian field
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