Extremes of stationary Gaussian storage models

DOI10.1007/s10687-016-0240-xzbMath1339.60060arXiv1506.05821OpenAlexW2248514453MaRDI QIDQ291407

Peng Liu, Krzysztof Dȩbicki

Publication date: 7 June 2016

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.05821

zbMATH Keywords

asymptoticsextremesPickands constantstationary Gaussian storage modelstrong Piterbarg property

Mathematics Subject Classification ID

Gaussian processes (60G15) Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Large deviations (60F10)

Related Items (14)

Extremes of vector-valued Gaussian processes with trend ⋮ Approximation of the maximum of storage process with fractional Brownian motion as input ⋮ Extremes ofγ-reflected Gaussian processes with stationary increments ⋮ Sojourns of fractional Brownian motion queues: transient asymptotics ⋮ An Erdös-Révész type law of the iterated logarithm for reflected fractional Brownian motion ⋮ Extremes of reflecting Gaussian processes on discrete grid ⋮ Unnamed Item ⋮ Sojourn times of Gaussian processes with trend ⋮ Extremes of nonstationary Gaussian fluid queues ⋮ Drawdown and drawup for fractional Brownian motion with trend ⋮ Uniform tail approximation of homogenous functionals of Gaussian fields ⋮ Sample path properties of reflected Gaussian processes ⋮ The time of ultimate recovery in Gaussian risk model ⋮ Derivative of the expected supremum of fractional Brownian motion at \(H=1\)

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