High excursions of Bessel process and other processes of Bessel type

DOI10.1134/S1064562419040094zbMATH Open1427.60063OpenAlexW2968667621MaRDI QIDQ2279769FDOQ2279769

Authors: V. I. Piterbarg, Igor V. Rodionov 

Publication date: 13 December 2019

Published in: Doklady Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s1064562419040094

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zbMATH Keywords

Bessel processGaussian vector process

Mathematics Subject Classification ID

Gaussian processes (60G15) Random fields (60G60)

Cites Work

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• A survey and some generalizations of Bessel processes
• Critical values and \(p\) values of Bessel process distributions: computation and application to structural break tests
• Crossing probabilities for a square root boundary by a bessel process
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• First Passage Time for a Particular Gaussian Process
• Piterbarg theorems for chi-processes with trend
• K-Sample Analogues of the Kolmogorov-Smirnov and Cramer-V. Mises Tests
• Extremes of locally stationary chi-square processes with trend
• High extremes of Gaussian chaos processes: a discrete time approximation approach

Cited In (1)

• High excursions of Bessel and related random processes

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