A note on transient Gaussian fluid models
Let \(\xi=(\xi(t))_{0\leq t\leq T}\) be a centered Gaussian process with stationary increments, \(\xi(0)=0\) and with a.s.~continuous paths. Given a shift function \(d:[0,T]\to\mathbb R\) the authors investigate the behaviour of \[ \Psi_T(u):=\mathbb P\left(\sup_{0\leq t\leq T}[\xi(t)-d(t)]\geq u\right) \] as \(u\to\infty\). Under some regularity conditions about the shift \(d\) and the covariance function of \(\xi\) the authors are able to describe the asymptotic of \(\Psi_T\) completely (with exact constants). As examples they apply these results to the fractional Brownian motion (fBm) as well as to so-called integrated Gaussian processes. In the case of fBm \(B_H\), \(0<H<1\), the behaviour of \(\Psi_T\) turns out to be very different for \(0<H<1/2\), \(H=1/2\) and \(1/2<H<1\), respectively. For \(B_H\) on the whole positive real line and \(d(t)=c\cdot t\) similar results (with non-specified constants) were proved by \textit{J. Hüsler} and \textit{V. I. Piterbarg} [Stochastic Processes Appl. 83, No. 2, 257-271 (1999; Zbl 0997.60057)] and by \textit{O. Narayan} [Adv. Performance Anal. 1, 39-63 (1999)].
- On tail probability of local times of Gaussian processes
- Path properties of the primitives of a Brownian motion
- Asymptotics of large deviations of Gaussian processes of Wiener type for $ L^p$-functionals, $ p>0$, and the hypergeometric function
- Asymptotics of supremum distribution of \(\alpha (t)\)-locally stationary Gaussian processes
- Asymptotic behaviour of Gaussian processes with integral representation.
- Limit theorems for supremum of Gaussian processes over a random interval
- Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals
- Some \(\liminf\) results on increments of the primitives of Brownian motion
- Upper classes for the increments of the fractional Wiener process
- Extremes of threshold-dependent Gaussian processes
- Extremes of standard multifractional Brownian motion
- Simultaneous ruin probability for two-dimensional fractional Brownian motion risk process over discrete grid
- Derivative of the expected supremum of fractional Brownian motion at \(H=1\)
- Extremes of Gaussian processes over an infinite horizon
- Conditional limit theorems for queues with Gaussian input, a weak convergence approach
- Extremes and First Passage Times of Correlated Fractional Brownian Motions
- Distribution processes with stationary fractional increments
- Simulation of the Asymptotic Constant in Some Fluid Models
- Exact overflow asymptotics for queues with many Gaussian inputs
- Extremes of -reflected Gaussian processes with stationary increments
- Ruin problem of a two-dimensional fractional Brownian motion risk process
- Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals
- Queues with path-dependent arrival processes
- Brownian motion minus the independent increments: representation and queuing application
- Extremes of nonstationary Gaussian fluid queues
- Maximal Inequalities for Fractional Brownian Motion: An Overview
- Simultaneous ruin probability for multivariate Gaussian risk model
- On the maxima of suprema of dependent Gaussian models
- On the speed of convergence of Piterbarg constants
- On the -reflected processes with fBm input
This page was built for publication: A note on transient Gaussian fluid models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1611752)
