Method of Moments for Exit Probabilities of Gaussian Vector Processes From a Large Region

DOI10.1137/S0040585X97T989246zbMath1442.60042OpenAlexW2913560246WikidataQ128439265 ScholiaQ128439265MaRDI QIDQ4618073

Alexander O. Kleban, Vladimir 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

asymptotic behaviorpoint processLaplace methodRice's methodGaussian vector processlarge excursions of trajectories

Mathematics Subject Classification ID

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

Related Items (1)

Extremes of vector-valued Gaussian processes

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