Extremes of Gaussian processes over an infinite horizon

DOI10.1016/j.spa.2004.09.005zbMath1070.60035MaRDI QIDQ2485824

A. B. Dieker

Publication date: 5 August 2005

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

Full work available at URL: https://research.utwente.nl/en/publications/extremes-of-gaussian-processes-over-an-infinite-horizon(94f08aa1-8002-47be-93cb-ca32e2068b65).html

zbMATH Keywords

Ruin probability; Extreme values; Regular variation

Mathematics Subject Classification ID

60G15: Gaussian processes

60G70: Extreme value theory; extremal stochastic processes

Related Items

Asymptotics of Maxima of Strongly Dependent Gaussian Processes, A Lévy Process Reflected at a Poisson Age Process, Open problems in Gaussian fluid queueing theory, Extremes of multidimensional Gaussian processes, On average losses in the ruin problem with fractional Brownian motion as input, On first and last ruin times of Gaussian processes, A limit theorem for the time of ruin in a Gaussian ruin problem, Asymptotics of supremum distribution of \(\alpha (t)\)-locally stationary Gaussian processes, Conditional limit theorems for regulated fractional Brownian motion, Fuzzy set-valued stochastic Lebesgue integral, Exact tail asymptotics of the supremum of strongly dependent Gaussian processes over a random interval, Conditional limit theorems for queues with Gaussian input, a weak convergence approach, Reduced-load equivalence for queues with Gaussian input, Efficient Simulation for the Maximum of Infinite Horizon Discrete-Time Gaussian Processes, On the Dependence Structure of Gaussian Queues

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