On the supremum from Gaussian processes over infinite horizon

zbMATH Open0985.60034MaRDI QIDQ2771982FDOQ2771982

Authors: Krzysztof Dȩbicki, Zbigniew Michna, Tomasz Rolski 

Publication date: 18 February 2002

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

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zbMATH Keywords

fractional Brownian motionintegrated stationary Gaussian processesnonlinearly scaled Brownian motion

Mathematics Subject Classification ID

Gaussian processes (60G15)

Cited In (12)

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

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