On the supremum from Gaussian processes over infinite horizon

MaRDI QIDQ2771982zbMATH OpenFDO

Authors Krzysztof Dȩbicki, Zbigniew Michna, Tomasz Rolski

Publication date 18 February 2002

Published in Probability and Mathematical Statistics (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motionintegrated stationary Gaussian processesnonlinearly scaled Brownian motion

Mathematics Subject Classification ID

Gaussian processes (60G15)

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Cited in

(12)

• Extremes of Gaussian processes over an infinite horizon
• An approximate approach to fractional stochastic integration and its applications
• Steady-state GI/G/\(n\) queue in the Halfin-Whitt regime
• A note on LDP for supremum of Gaussian processes over infinite horizon
• Sur la loi du sup de certains processus gaussiens non bornés
• Ruin probabilities in perturbed risk models
• Bounds for expected supremum of fractional Brownian motion with drift
• Estimates for exponential functionals of continuous Gaussian processes with emphasis on fractional Brownian motion
• Conditional limit theorems for queues with Gaussian input, a weak convergence approach
• Scaled Brownian motion with random anomalous diffusion exponent
• Bounds for the expected supremum of some non-stationary Gaussian processes
• Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals

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