Tail approximations of integrals of Gaussian random fields

DOI10.1214/10-AOP639zbMATH Open1266.60092arXiv1006.2837MaRDI QIDQ428142FDOQ428142

Jingchen Liu

Publication date: 19 June 2012

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: This paper develops asymptotic approximations of $P(in{t}_T{e}^{f(t)},dt>b)$ as $bightarrowinfty$ for a homogeneous smooth Gaussian random field, $f$, living on a compact $d$-dimensional Jordan measurable set $T$. The integral of an exponent of a Gaussian random field is an important random variable for many generic models in spatial point processes, portfolio risk analysis, asset pricing and so forth. The analysis technique consists of two steps: 1. evaluate the tail probability $P(in{t}_{Xi}{e}^{f(t)},dt>b)$ over a small domain $Xi$ depending on $b$, where $operatornamemes(Xi)ightarrow0$ as $bightarrowinfty$ and $operatornamemes(cdot)$ is the Lebesgue measure; 2. with $Xi$ appropriately chosen, we show that $P(in{t}_T{e}^{f(t)},dt>b)=(1+o(1))operatornamemes(T)imesoperatorname{mes}^{-1}(Xi)P(in{t}_{Xi}{e}^{f(t)},dt>b)$.

Full work available at URL: https://arxiv.org/abs/1006.2837

zbMATH Keywords

Gaussian random fieldextremesintegral of exponents of random fields

Mathematics Subject Classification ID

Large deviations (60F10) Random fields (60G60) Extreme value theory; extremal stochastic processes (60G70)

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Cited In (18)

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