Method of moments for exit probabilities of Gaussian vector processes from a large region

DOI10.1137/S0040585X97T989246zbMATH Open1442.60042OpenAlexW2913560246WikidataQ128439265 ScholiaQ128439265MaRDI QIDQ4618073FDOQ4618073

Authors: Alexander O. Kleban, V. I. Piterbarg 

Publication date: 7 February 2019

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97t989246

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zbMATH Keywords

point processasymptotic behaviorLaplace methodRice's methodGaussian vector processlarge excursions of trajectories

Mathematics Subject Classification ID

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

Cites Work

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• The moments of the number of exits from a simply connected region

Cited In (1)

• Extremes of vector-valued Gaussian processes

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