Tail asymptotics of supremum of certain Gaussian processes over threshold dependent random intervals

DOI10.1007/s10687-014-0186-9zbMath1306.60033arXiv1311.5919OpenAlexW2113310316MaRDI QIDQ488106

Enkelejd Hashorva, Lanpeng Ji, Krzysztof Dȩbicki

Publication date: 23 January 2015

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1311.5919

zbMATH Keywords

fractional Brownian motionGaussian processlarge deviationsruin probabilitytail asymptoticsWeibullian tails

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Extreme value theory; extremal stochastic processes (60G70) Large deviations (60F10) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

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