High excursions of Gaussian nonstationary processes in discrete time

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

Authors: I. A. Kozik, V. I. Piterbarg 

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

Recommendations

• Probability of a large excursion of a nonstationary Gaussian process. I
• High excursions of a quadratic form for a Gaussian stationary vector process
• On approximating the probability of a large excursion of a nonstationary Gaussian process
• On the shape of high excursions of Gaussian stationary processes
• High excursions for nonstationary generalized chi-square processes

zbMATH Keywords

fractional Brownian motionGaussian nonstationary processes

Mathematics Subject Classification ID

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

Cites Work

• Discrete and continuous time extremes of Gaussian processes
• Title not available (Why is that?)
• 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
• Title not available (Why is that?)
• Pricing under rough volatility

Cited In (2)

• Probability of a large excursion of a nonstationary Gaussian process. I
• High excursions for nonstationary generalized chi-square processes

This page was built for publication: High excursions of Gaussian nonstationary processes in discrete time

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2657166)