Extremes on different grids and continuous time of stationary processes

DOI10.1016/J.JMAA.2018.01.008zbMATH Open1390.60129OpenAlexW2782832932MaRDI QIDQ1706348FDOQ1706348

Authors Chengxiu Ling, Zhongquan Tan, Zuoxiang Peng

Publication date 22 March 2018

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2018.01.008

zbMATH Keywords

extremal index stationary processes extremes Gumbel limit theorem Pickands grids

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Stationary stochastic processes (60G10)

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Cites Work

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Option pricing impact of alternative continuous-time dynamics
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Twenty lectures about Gaussian processes

Cited In (4)

Approximation of the maximum of storage process with fractional Brownian motion as input
On the asymptotic distribution of the maxima from Gaussian functions subject to missing observations
Dependence between extreme values of discrete and continuous time locally stationary Gaussian processes
EXTREMES: A CONTINUOUS-TIME PERSPECTIVE

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