scientific article; zbMATH DE number 846847

zbMATH Open0841.60024MaRDI QIDQ4864754FDOQ4864754

Authors: V. I. Piterbarg 

Publication date: 22 February 1996

Title of this publication is not available (Why is that?)

Recommendations

• scientific article; zbMATH DE number 193377
• Twenty lectures about Gaussian processes
• Asymptotic expansions for the distribution of the maximum of Gaussian random fields
• Asymptotics of large deviation probabilities for Gaussian fields
• High excursions for nonstationary generalized chi-square processes

zbMATH Keywords

asymptotic expansionGaussian fieldshigh excursionsasymptotic behavior of maxima

Mathematics Subject Classification ID

Gaussian processes (60G15) Random fields (60G60) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Sample path properties (60G17)

Cited In (only showing first 100 items - show all)

• Extremes of L^p-norm of vector-valued Gaussian processes with trend
• Title not available (Why is that?)
• Extremes of spherical fractional Brownian motion
• Extremes of vector-valued Gaussian processes
• Extremes of Gaussian chaos processes with trend
• Approximation of sojourn times of Gaussian processes
• Extreme value theory for a sequence of suprema of a class of Gaussian processes with trend
• Maxima of stochastic processes driven by fractional Brownian motion
• Approximation of maximum of Gaussian random fields
• Tail approximation for reinsurance portfolios of Gaussian-like risks
• Moderate deviation for random elliptic PDE with small noise
• Representations of \(\max\)-stable processes via exponential tilting
• Excursion probabilities of isotropic and locally isotropic Gaussian random fields on manifolds
• Tail asymptotic behavior of the supremum of a class of chi-square processes
• Extreme analysis of a random ordinary differential equation
• Extremal behavior of hitting a cone by correlated Brownian motion with drift
• Approximation of ruin probability and ruin time in discrete Brownian risk models
• On the density functions of integrals of Gaussian random fields
• On the extremal behavior of a nonstationary normal random field
• Cox limit theorem for large excursions of a norm of a Gaussian vector process
• Remarks on compound Poisson approximation of Gaussian random sequences
• Asymptotic behaviour of high Gaussian minima
• Zeros of smooth stationary Gaussian processes
• Extremes of stationary random fields on a lattice
• Uniform tail approximation of homogenous functionals of Gaussian fields
• On the maxima and minima of complete and incomplete samples from nonstationary random fields
• Approximation of the maximum of storage process with fractional Brownian motion as input
• Title not available (Why is that?)
• Asymptotic behaviour of mean uniform norms for sequences of Gaussian processes and fields
• Extremal behavior of the heat random field
• A note on the finite-time ruin probability of a renewal risk model with Brownian perturbation
• Bounds for the expected supremum of some non-stationary Gaussian processes
• The finite-time ruin probability of a risk model with stochastic return and Brownian perturbation
• Extremes of \(q\)-Ornstein-Uhlenbeck processes
• ECOMOR and LCR reinsurance with gamma-like claims
• Extremes of multidimensional stationary Gaussian random fields
• Maxima of a triangular array of multivariate Gaussian sequence
• Testing for monotonicity under endogeneity: an application to the reservation wage function
• Extremes of Gaussian processes with a smooth random trend
• The distribution of a functional of the Wiener process and its application to the Brownian sheet
• Detecting non-simultaneous changes in means of vectors
• Extremes of Gaussian random fields with regularly varying dependence structure
• Extrema of multi-dimensional Gaussian processes over random intervals
• Maxima and minima of independent and non-identically distributed bivariate Gaussian triangular arrays
• Approximation of supremum of max-stable stationary processes \& Pickands constants
• Sample paths estimates for stochastic fast-slow systems driven by fractional Brownian motion
• On shape of high massive excursions of trajectories of Gaussian homogeneous fields
• Extremes of threshold-dependent Gaussian processes
• The finite-time ruin probability of a risk model with a general counting process and stochastic return
• Almost sure asymptotics for extremes of non-stationary Gaussian random fields
• Extremes of normed empirical moment generating function processes
• Extremes ofγ-reflected Gaussian processes with stationary increments
• Reflecting time-Space Gaussian random field on compact Riemannian manifold and excursion probability
• Extremes of vector-valued Gaussian processes with trend
• On probability of high extremes of Gaussian fields with a smooth random trend
• Tail asymptotics for Shepp-statistics of Brownian motion in \(\mathbb{R}^d \)
• Bounds and approximations for distributions of weighted Kolmogorov-Smirnov tests
• Limit laws on extremes of nonhomogeneous Gaussian random fields
• Approximation of Kolmogorov–Smirnov test statistic
• Parisian ruin of self-similar Gaussian risk processes
• On the ruin probability for physical fractional Brownian motion
• On excursion sets, tube formulas and maxima of random fields.
• An explicit link between Gaussian fields and Gaussian Markov random fields: the stochastic partial differential equation approach
• Gaussian copula time series with heavy tails and strong time dependence
• Maxima and sum for discrete and continuous time Gaussian processes
• Asymptotic formula for the tail of the maximum of smooth stationary Gaussian fields on non locally convex sets
• Tail asymptotics of random sum and maximum of log-normal risks
• Asymptotic models and inference for extremes of spatio-temporal data
• Extremes of Gaussian fields with a smooth random variance
• The mean Euler characteristic and excursion probability of Gaussian random fields with stationary increments
• Kernel density estimators: convergence in distribution for weighted sup-norms
• Gaussian risk models with financial constraints
• Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals
• Asymptotic expansion of Gaussian chaos via probabilistic approach
• Extremes of a class of nonhomogeneous Gaussian random fields
• Extremes of independent Gaussian processes
• The almost sure limit theorem for the maxima and minima of strongly dependent Gaussian vector sequences
• Log-likelihood ratio test for detecting transient change
• Asymptotics of supremum distribution of a Gaussian process over a Weibullian time
• A general expression for the distribution of the maximum of a Gaussian field and the approximation of the tail
• On asymptotic constants in the theory of extremes for Gaussian processes
• \(K\)-sample problem using strong approximations of empirical copula processes
• Extremes of Gaussian processes with a smooth random variance
• Convergence of exceedance point processes of normal sequences with a seasonal component and its applications
• Extremes of independent stochastic processes: a point process approach
• Extremes of stationary Gaussian storage models
• Testing for multiple change points
• On Piterbarg theorem for maxima of stationary Gaussian sequences
• Limiting distribution for the maximal standardized increment of a random walk
• Asymptotic expansions for the distribution of the maximum of Gaussian random fields
• Aggregation of log-linear risks
• Parisian ruin over a finite-time horizon
• Exact tail asymptotics of the supremum of strongly dependent Gaussian processes over a random interval
• Asymptotics of maxima of strongly dependent Gaussian processes
• Extremes values of discrete and continuous time strongly dependent Gaussian processes
• On Piterbarg max-discretisation theorem for standardised maximum of stationary Gaussian processes
• Extremes of Shepp statistics for fractional Brownian motion
• Higher-order expansions of distributions of maxima in a Hüsler-Reiss model
• On the distribution of the maximum of a Gaussian field with \(d\) parameters
• On the \(\gamma\)-reflected processes with fBm input

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4864754)