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

DOI10.1137/S0040585X97T989246MaRDI QIDQ4618073zbMATH OpenOpenAlexWikidataFDO

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

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)

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Cites work

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Cited in

(1)

• Extremes of vector-valued Gaussian processes

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