Extremes of \(q\)-Ornstein-Uhlenbeck processes

DOI10.1016/j.spa.2017.10.008zbMath1405.60072arXiv1609.00338OpenAlexW2964089281MaRDI QIDQ1660308

Yizao Wang

Publication date: 15 August 2018

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

Full work available at URL: https://arxiv.org/abs/1609.00338

zbMATH Keywords

Markov processself-similar processexcursion probabilityBrown-Resnick processdouble-sum methodtangent process\(q\)-Ornstein-Uhlenbeck processsemi-\(\min\)-stable process

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Continuous-time Markov processes on general state spaces (60J25)

Related Items

The extremes of dependent chi-processes attracted by the Brown-Resnick process, Limit theorem on the pointwise maxima of minimum of vector-valued Gaussian processes, Limit fluctuations for density of asymmetric simple exclusion processes with open boundaries

Uses Software

• GAUSSIAN

Cites Work

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