High excursions of Bessel process and other processes of Bessel type

DOI10.1134/S1064562419040094zbMath1427.60063OpenAlexW2968667621MaRDI QIDQ2279769

Igor V. Rodionov, Vladimir I. Piterbarg

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

zbMATH Keywords

Bessel processGaussian vector process

Mathematics Subject Classification ID

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

Cites Work

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• Extremes of locally stationary chi-square processes with trend
• A survey and some generalizations of Bessel processes
• Piterbarg theorems for chi-processes with trend
• Crossing probabilities for a square root boundary by a bessel process
• CRITICAL VALUES AND P VALUES OF BESSEL PROCESS DISTRIBUTIONS: COMPUTATION AND APPLICATION TO STRUCTURAL BREAK TESTS
• High Extremes of Gaussian Chaos Processes: A Discrete Time Approximation Approach
• K-Sample Analogues of the Kolmogorov-Smirnov and Cramer-V. Mises Tests
• First Passage Time for a Particular Gaussian Process

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