Extremes of a class of nonhomogeneous Gaussian random fields

DOI10.1214/14-AOP994zbMath1341.60044arXiv1405.2952OpenAlexW3099300944MaRDI QIDQ282499

Enkelejd Hashorva, Krzysztof Dȩbicki, Lanpeng Ji

Publication date: 12 May 2016

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.2952

zbMATH Keywords

fractional Brownian motionBrownian bridgestationarityextremesgeneralized Pickands-Piterbarg constantmaximum lossnonhomogeneous Gaussian random fieldsPickands constantPiterbarg constantShepp statisticsspan

Mathematics Subject Classification ID

Random fields (60G60) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Brownian motion (60J65)

Related Items (20)

Some limit results on supremum of Shepp statistics for fractional Brownian motion ⋮ Extremes of vector-valued Gaussian processes with trend ⋮ Representations of \(\max\)-stable processes via exponential tilting ⋮ Extremes of \(q\)-Ornstein-Uhlenbeck processes ⋮ Extremes of Gaussian random fields with regularly varying dependence structure ⋮ Extremes of vector-valued Gaussian processes ⋮ Unnamed Item ⋮ Extremes of a type of locally stationary Gaussian random fields with applications to Shepp statistics ⋮ The joint distribution of running maximum of a Slepian process ⋮ Ruin problem of a two-dimensional fractional Brownian motion risk process ⋮ Extremes of Shepp statistics for fractional Brownian motion ⋮ Extremes of standard multifractional Brownian motion ⋮ Limit laws on extremes of nonhomogeneous Gaussian random fields ⋮ Uniformly efficient simulation for extremes of Gaussian random fields ⋮ Extremes of locally stationary chi-square processes with trend ⋮ Approximation of supremum of max-stable stationary processes \& Pickands constants ⋮ Tail asymptotics for Shepp-statistics of Brownian motion in \(\mathbb{R}^d \) ⋮ Uniform tail approximation of homogenous functionals of Gaussian fields ⋮ Extremes of spherical fractional Brownian motion ⋮ Unnamed Item

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