Extremes of Shepp statistics for the Wiener process

DOI10.1007/s10687-008-0061-7zbMath1199.60189OpenAlexW2059474149MaRDI QIDQ2271712

Dmitrii Zholud

Publication date: 8 August 2009

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-008-0061-7

zbMATH Keywords

extreme valuesasymptotic behaviourlarge deviationslimit theoremsGumbel lawShepp statisticsdistribution tailweak theoremsHigh level excursionsWiener process increments

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70)

Related Items (10)

Some limit results on supremum of Shepp statistics for fractional Brownian motion ⋮ Extremes of a class of nonhomogeneous Gaussian random fields ⋮ Extremes of Shepp statistics for Gaussian random walk ⋮ Large deviations of Shepp statistics for fractional Brownian motion ⋮ Extremes of a type of locally stationary Gaussian random fields with applications to Shepp statistics ⋮ Split invariance principles for stationary processes ⋮ Extremes of Shepp statistics for fractional Brownian motion ⋮ Extremes of Shepp statistics for the Wiener process ⋮ Limit laws on extremes of nonhomogeneous Gaussian random fields ⋮ Tail asymptotics for Shepp-statistics of Brownian motion in \(\mathbb{R}^d \)

Cites Work

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• Extreme values and high boundary crossings of locally stationary Gaussian processes
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• How big are the increments of a Wiener process?
• Extremes of Shepp statistics for the Wiener process
• An asymptotic formula for the distribution of the maximum of a Gaussian process with stationary increments
• Upcrossing Probabilities for Stationary Gaussian Processes
• Asymptotic Properties of the Maximum in a Stationary Gaussian Process
• Unified Limit Theorems for Increments of Processes with Independent Increments

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