Extremes of stationary Gaussian storage models

DOI10.1007/S10687-016-0240-XzbMATH Open1339.60060arXiv1506.05821OpenAlexW2248514453MaRDI QIDQ291407FDOQ291407

Authors: Krzysztof Dȩbicki, Peng Liu 

Publication date: 7 June 2016

Published in: Extremes (Search for Journal in Brave)

Abstract: For the stationary storage process $Q(t),tge0$, with $$ where $X(t),tge0$ is a centered Gaussian process with stationary increments, $c>0$ and $$ is chosen such that $Q(t)$ is finite a.s., we derive exact asymptotics of $mathbbPleft(su{p}_{tin[0,T_u]}Q(t)>uight)$ and $mathbbPleft(in{f}_{tin[0,T_u]}Q(t)>uight)$, as $uightarrowinfty$. As a by-product we find conditions under which strong Piterbarg property holds.

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

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zbMATH Keywords

asymptoticsextremesPickands constantstationary Gaussian storage modelstrong Piterbarg property

Mathematics Subject Classification ID

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

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Cited In (17)

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• Sojourns of fractional Brownian motion queues: transient asymptotics
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• Extreme value theory for a thermal energy storage model
• Uniform tail approximation of homogenous functionals of Gaussian fields
• Title not available (Why is that?)
• Sample path properties of reflected Gaussian processes
• Approximation of the maximum of storage process with fractional Brownian motion as input
• An Extreme-Type Limit Law for a Storage Process
• Extremes of the time-average of stationary Gaussian processes
• Derivative of the expected supremum of fractional Brownian motion at \(H=1\)
• Extremes of nonstationary Gaussian fluid queues
• An Erdös-Révész type law of the iterated logarithm for reflected fractional Brownian motion
• Extremes of vector-valued Gaussian processes with trend
• Drawdown and drawup for fractional Brownian motion with trend

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