Sample path properties of reflected Gaussian processes

MaRDI QIDQ4638252zbMATH OpenFDO

Authors Peng Liu, K. M. Kosiński

Publication date 4 May 2018

Full work available at URL https://arxiv.org/abs/1711.01165, http://alea.impa.br/articles/v15/15-19.pdf

zbMATH Keywords

extremes of Gaussian fieldsGaussian processeslaw of the iterated logarithmstorage processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Extreme value theory; extremal stochastic processes (60G70)

Abstract: We consider a stationary queueing process $Q_X$ fed by a centered Gaussian process $X$ with stationary increments and variance function satisfying classical regularity conditions. A criterion when, for a given function $f$, $mathbbP(Q_X(t)>f(t),exti.o.)$ equals 0 or 1 is provided. Furthermore, an Erd"os-R'ev'esz type law of the iterated logarithm is proven for the last passage time $xi(t)=sups:0leslet,Q_X(s)gef(s)$. Both of these findings extend previously known results that were only available for the case when $X$ is a fractional Brownian motion.

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Cited in

(4)

• Drawdown and drawup for fractional Brownian motion with trend
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• Extremes of -reflected Gaussian processes with stationary increments
• scientific article; zbMATH DE number 1836526 (Why is no real title available?)

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