Discrete and continuous time extremes of Gaussian processes

DOI10.1007/s10687-005-6198-8zbMath1088.60051MaRDI QIDQ2488450

Vladimir I. Piterbarg

Publication date: 24 May 2006

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10687-005-6198-8

zbMATH Keywords

discretization; sparse grid; Pickands constant; dense grid; limit theorem for maximum

Mathematics Subject Classification ID

60G15: Gaussian processes

60G70: Extreme value theory; extremal stochastic processes

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