Extremes of a class of nonhomogeneous Gaussian random fields

DOI10.1214/14-AOP994zbMATH Open1341.60044arXiv1405.2952OpenAlexW3099300944MaRDI QIDQ282499FDOQ282499

Authors: Krzysztof Dȩbicki, Enkelejd Hashorva, Lanpeng Ji 

Publication date: 12 May 2016

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

Abstract: This contribution establishes exact tail asymptotics of $su{p}_{(s,t)inmathbfE}$ $X(s,t)$ for a large class of nonhomogeneous Gaussian random fields $X$ on a bounded convex set $mathbfEsubsetmathbb{R}^2$, with variance function that attains its maximum on a segment on $mathbfE$. These findings extend the classical results for homogeneous Gaussian random fields and Gaussian random fields with unique maximum point of the variance. Applications of our result include the derivation of the exact tail asymptotics of the Shepp statistics for stationary Gaussian processes, Brownian bridge and fractional Brownian motion as well as the exact tail asymptotic expansion for the maximum loss and span of stationary Gaussian processes.

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

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zbMATH Keywords

stationarityfractional Brownian motionextremesBrownian bridgegeneralized Pickands-Piterbarg constantmaximum lossnonhomogeneous Gaussian random fieldsPickands constantPiterbarg constantShepp statisticsspan

Mathematics Subject Classification ID

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

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Cited In (28)

• Extremes of standard multifractional Brownian motion
• Ruin problem of a two-dimensional fractional Brownian motion risk process
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