Boundary non-crossing probabilities of Gaussian processes: sharp bounds and asymptotics

DOI10.1007/S10959-020-01002-3zbMATH Open1493.60068arXiv1903.06091OpenAlexW3011804786MaRDI QIDQ2031007FDOQ2031007

Yuliya S. Mishura, G. M. Shevchenko, Enkelejd Hashorva

Publication date: 8 June 2021

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: We study boundary non-crossing probabilities ${\displaystyle }$ P_{f,u} := mathrm P�ig(forall tin mathbb T X_t + f(t)le u(t)�ig) ${\displaystyle }$ for continuous centered Gaussian process $X$ indexed by some arbitrary compact separable metric space $mathbbT$. We obtain both upper and lower bounds for $P_{f,u}$. The bounds are matching in the sense that they lead to precise logarithmic asymptotics for the large-drift case $P_{yf,u}$, $yo+infty$, which are two-term approximations (up to $o(y)$). The asymptotics are formulated in terms of the solution $ildef$ to the constrained optimization problem ${\displaystyle }$ |h|_{mathbb H_X} o min, quad hin mathbb H_X, hge f ${\displaystyle }$ in the reproducing kernel Hilbert space $mathbb{H}_X$ of $X$. Several applications of the results are further presented.

Full work available at URL: https://arxiv.org/abs/1903.06091

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zbMATH Keywords

reproducing kernel Hilbert spaceGaussian processlarge deviationscompact metric spaceCameron-Martin theoremboundary non-crossing probabilityconstrained quadratic optimization problem

Mathematics Subject Classification ID

Large deviations (60F10) Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70)

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Cited In (3)

• On double-boundary non-crossing probability for a class of compound processes with applications
• Large deviation estimates of the crossing probability for pinned Gaussian processes
• Statistical property of threshold-crossing for zero-mean-valued, narrow-banded Gaussian processes

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