The mean Euler characteristic and excursion probability of Gaussian random fields with stationary increments

Abstract: Let

X = X (t), t i n {m a t h b b R}^{N}

be a centered Gaussian random field with stationary increments and

X (0) = 0

. For any compact rectangle

T s u b s e t {m a t h b b R}^{N}

and

u i n m a t h b b R

, denote by

A_{u} = t i n T : X (t) g e q u

the excursion set. Under

X (c d o t) i n C^{2} ({m a t h b b R}^{N})

and certain regularity conditions, the mean Euler characteristic of

A_{u}

, denoted by

m a t h b b E v a r p h i (A_{u})

, is derived. By applying the Rice method, it is shown that, as

u o i n f t y

, the excursion probability

m a t h b b P s u p_{t i n T} X (t) g e q u

can be approximated by

m a t h b b E v a r p h i (A_{u})

such that the error is exponentially smaller than

m a t h b b E v a r p h i (A_{u})

. This verifies the expected Euler characteristic heuristic for a large class of Gaussian random fields with stationary increments.

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