High extrema of Gaussian chaos processes

DOI10.1007/S10687-016-0239-3MaRDI QIDQ291406zbMATHOpenAlexFDO

Authors V. I. Piterbarg

Publication date 7 June 2016

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10687-016-0239-3

zbMATH Keywords

Wiener chaosasymptotic methodsdouble sum methodextremaGaussian chaosGaussian stationary vector processeslarge excursions

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Stationary stochastic processes (60G10) Other physical applications of random processes (60K40)

Recommendations

• High extremes of Gaussian chaos processes: a discrete time approximation approach
• Large extremes of Gaussian chaos processes
• On probability of high extremes for product of two independent Gaussian stationary processes
• Extremes of Gaussian chaos processes with trend
• On probability of high extremes for product of two Gaussian stationary processes

Cites work

• scientific article; zbMATH DE number 1894348 (Why is no real title available?)
• scientific article; zbMATH DE number 879747 (Why is no real title available?)
• Asymptotic expansion of Gaussian chaos via probabilistic approach
• Exact asymptotics and limit theorems for supremum of stationary \(\chi\)-processes over a random interval
• Extreme values and crossings for theX²-Process and Other Functions of Multidimensional Gaussian Processes, by Reliability Applications
• Extremes and limit theorems for difference of chi-type processes
• High excursions for nonstationary generalized chi-square processes
• Limit Theorem for High Levela-Upcrossings by $\chi$-Process
• Limit theorems for extremes of strongly dependent cyclo-stationary \(\chi \)-processes
• On extremal behavior of Gaussian chaos
• On probability of high extremes for product of two independent Gaussian stationary processes
• On the asymptotic Laplace method and its application to random chaos
• Twenty lectures about Gaussian processes

Cited in

(20)

• Asymptotic behaviour of high Gaussian minima
• On generalised Piterbarg constants
• Extremal behavior of hitting a cone by correlated Brownian motion with drift
• Approximation of maximum of Gaussian random fields
• Extremes of Gaussian chaos processes with trend
• Approximation of sojourn times of Gaussian processes
• Exact asymptotics of component-wise extrema of two-dimensional Brownian motion
• Extremes on different grids and continuous time of stationary processes
• On probability of high extremes for product of two independent Gaussian stationary processes
• Extremes of randomly scaled Gumbel risks
• Extremes of Gaussian random fields with regularly varying dependence structure
• High extremes of Gaussian chaos processes: a discrete time approximation approach
• High excursions of Bessel and related random processes
• Extremes of threshold-dependent Gaussian processes
• High excursions of a quadratic form for a Gaussian stationary vector process
• Asymptotic expansion of Gaussian chaos via probabilistic approach
• scientific article; zbMATH DE number 1149771 (Why is no real title available?)
• Method of moments for exit probabilities of Gaussian vector processes from a large region
• Large extremes of Gaussian chaos processes
• The extremes of dependent chi-processes attracted by the Brown-Resnick process

This page was built for publication: High extrema of Gaussian chaos processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q291406)