Limit theorems for supremum of Gaussian processes over a random interval

DOI10.1007/S11766-018-3438-7zbMATH Open1413.60030OpenAlexW2890937311MaRDI QIDQ1989869FDOQ1989869

Authors: Fuming Lin, Zuoxiang Peng 

Publication date: 29 October 2018

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-018-3438-7

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zbMATH Keywords

regularly varying functionsstationary Gaussian processrandom intervalssupremum of a process

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70)

Cites Work

• Extremes and related properties of random sequences and processes
• Title not available (Why is that?)
• Asymptotic Properties of the Maximum in a Stationary Gaussian Process
• Title not available (Why is that?)
• Asymptotic Properties of Gaussian Processes
• Exact asymptotics of supremum of a stationary Gaussian process over a random interval
• Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals
• Exact asymptotics and limit theorems for supremum of stationary \(\chi\)-processes over a random interval
• Exact tail asymptotics of the supremum of strongly dependent Gaussian processes over a random interval
• The supremum of a Gaussian process over a random interval
• Fractional Laplace motion
• Title not available (Why is that?)

Cited In (6)

• Limit theorems for maxima and crossings of a sequence of Gaussian processes and approximation of random processes
• Limit theorems, scaling of moments and intermittency for integrated finite variance supOU processes
• Exact asymptotics of supremum of a stationary Gaussian process over a random interval
• The supremum of a Gaussian process over a random interval
• A note on transient Gaussian fluid models
• Title not available (Why is that?)

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