Extremes of vector-valued Gaussian processes

DOI10.1016/J.SPA.2020.04.008zbMATH Open1454.60049arXiv1911.06350OpenAlexW3023292496MaRDI QIDQ2196388FDOQ2196388

Authors: Krzysztof Dȩbicki, Enkelejd Hashorva, Longmin Wang 

Publication date: 2 September 2020

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

Abstract: The seminal papers of Pickands [1,2] paved the way for a systematic study of high exceedance probabilities of both stationary and non-stationary Gaussian processes. Yet, in the vector-valued setting, due to the lack of key tools including Slepian's Lemma, Borell-TIS and Piterbarg inequalities there has not been any methodological development in the literature for the study of extremes of vector-valued Gaussian processes. In this contribution we develop the uniform double-sum method for the vector-valued setting obtaining the exact asymptotics of the exceedance probabilities for both stationary and non-stationary Gaussian processes. We apply our findings to the operator fractional Brownian motion and the operator fractional Ornstein-Uhlenbeck process.

Full work available at URL: https://arxiv.org/abs/1911.06350

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zbMATH Keywords

operator fractional Brownian motionvector-valued Gaussian processhigh exceedance probabilityoperator fractional Ornstein-Uhlenbeck processesuniform double-sum methodvector-valued Borell-TIS inequality

Mathematics Subject Classification ID

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

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Cited In (15)

• The harmonic mean formula for random processes
• Extremes of independent Gaussian processes
• Extreme values of the cyclostationary Gaussian random process
• Parisian ruin with power-asymmetric variance near the optimal point with application to many-inputs proportional reinsurance
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• Exact asymptotics of component-wise extrema of two-dimensional Brownian motion
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• Extremes of locally-homogenous vector-valued Gaussian processes
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