High excursions of Gaussian nonstationary processes in discrete time
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Cites work
- scientific article; zbMATH DE number 3633436 (Why is no real title available?)
- Bounds for expected maxima of Gaussian processes and their discrete approximations
- Discrete and continuous time extremes of Gaussian processes
- Extremes of a certain class of Gaussian processes
- Pricing under rough volatility
- Simulation paradoxes related to a fractional Brownian motion with small Hurst index
- Twenty lectures about Gaussian processes
Cited in
(7)- High minima of non-smooth Gaussian processes
- High excursions of Bessel process and other processes of Bessel type
- On the shape of a high excursion of a Gaussian stationary process
- High excursions for nonstationary generalized chi-square processes
- High excursions of Bessel and related random processes
- Probability of a large excursion of a nonstationary Gaussian process. I
- High excursions of a quadratic form for a Gaussian stationary vector process
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