Large deviations of infinite intersections of events in Gaussian processes

DOI10.1016/J.SPA.2006.02.003MaRDI QIDQ2507596zbMATH OpenOpenAlexFDO

Authors Petteri Mannersalo, Ilkka Norros, Miranda van Uitert, M. R. H. Mandjes

Publication date 5 October 2006

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

Full work available at URL https://doi.org/10.1016/j.spa.2006.02.003

zbMATH Keywords

reproducing kernel Hilbert spacefractional Brownian motionbusy perioddominating pointminimum norm problemsample-path large deviations

Mathematics Subject Classification ID

Large deviations (60F10) Gaussian processes (60G15) Queueing theory (aspects of probability theory) (60K25)

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• Large deviations of the sample mean in general vector spaces
• Local independence of fractional Brownian motion
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• On the Structure of the Infinitesimal $\sigma $-Algebra of a Gaussian Process
• Path space large deviations of a large buffer with Gaussian input traffic
• Sample-path large deviations for tandem and priority queues with Gaussian inputs

Cited in

(18)

• Large deviation properties of constant rate data streams sharing a buffer with long-range dependent traffic in critical loading
• Sample-path large deviations in credit risk
• Large deviations for high minima of Gaussian processes with nonnegatively correlated increments
• Conditional limit theorems for queues with Gaussian input, a weak convergence approach
• Bounds for expected supremum of fractional Brownian motion with drift
• Local independence of fractional Brownian motion
• A note on large-buffer asymptotics for generalized processor sharing with Gaussian inputs
• Teletraffic as a Stochastic Playground*
• The Cramér-Lundberg model with a fluctuating number of clients
• Large deviation approaches for the numerical computation of the hitting probability for Gaussian processes
• Sample path large deviations for multiclass feedforward queueing networks in critical loading
• Large deviations for acyclic networks of queues with correlated Gaussian inputs
• Conditional limit theorems for regulated fractional Brownian motion
• On the Dependence Structure of Gaussian Queues
• Large deviation estimates of the crossing probability for pinned Gaussian processes
• Open problems in Gaussian fluid queueing theory
• Fractional Brownian Motion withH< 1/2 as a Limit of Scheduled Traffic
• On convergence to stationarity of fractional Brownian storage

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