An asymptotic formula for the distribution of the maximum of a Gaussian process with stationary increments

DOI10.2307/3213789zbMATH Open0607.60031OpenAlexW2317772282MaRDI QIDQ3746587FDOQ3746587

Authors: Simeon M. Berman 

Publication date: 1985

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3213789

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zbMATH Keywords

maximastationary increments

Mathematics Subject Classification ID

Gaussian processes (60G15) Sample path properties (60G17)

Cited In (19)

• Some asymptotic results of Gaussian random fields with varying mean functions and the associated processes
• Position and height of the global maximum of a twice differentiable stochastic process
• Uniformly efficient simulation for extremes of Gaussian random fields
• Large deviations for high minima of Gaussian processes with nonnegatively correlated increments
• Moderate deviation for random elliptic PDE with small noise
• A general expression for the distribution of the maximum of a Gaussian field and the approximation of the tail
• The supremum of a Gaussian process over a random interval
• The supremum of a process with stationary independent and symmetric increments
• On the regularity of the distribution of the maximum of one-parameter Gaussian processes
• Some maximal inequalities for fractional Brownian motion with polynomial drift
• Simultaneous ruin probability for multivariate Gaussian risk model
• Efficient simulations for the exponential integrals of Hölder continuous Gaussian random fields
• Asymptotic of the running maximum distribution of a Gaussian Bridge
• Extremes of Shepp statistics for the Wiener process
• A conditional limit law result on the location of the maximum of Brownian motion
• Tail approximations of integrals of Gaussian random fields
• On the conditional distributions and the efficient simulations of exponential integrals of Gaussian random fields
• On the first-passage times of certain Gaussian processes, and related asymptotics
• Asymptotic distribution of sum and maximum for Gaussian processes

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