High excursions of Gaussian nonstationary processes in discrete time

DOI10.1007/S10958-021-05276-8zbMATH Open1456.60086OpenAlexW3135691508MaRDI QIDQ2657166FDOQ2657166

V. I. Piterbarg, I. A. Kozik

Publication date: 12 March 2021

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10958-021-05276-8

zbMATH Keywords

fractional Brownian motionGaussian nonstationary processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70)

Cites Work

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• Title not available (Why is that?)
• Discrete and continuous time extremes of Gaussian processes
• Extremes of a certain class of Gaussian processes
• Bounds for expected maxima of Gaussian processes and their discrete approximations
• Simulation paradoxes related to a fractional Brownian motion with small Hurst index
• Pricing under rough volatility

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