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

DOI10.1007/S10687-014-0186-9MaRDI QIDQ488106zbMATH OpenOpenAlexFDO

Authors Enkelejd Hashorva, Lanpeng Ji, Krzysztof Dȩbicki

Publication date 23 January 2015

Published in Extremes (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

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

zbMATH Keywords

Gaussian processlarge deviationsfractional Brownian motionruin probabilitytail asymptoticsWeibullian tails

Mathematics Subject Classification ID

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

Abstract: Let $X(t),tge0$ be a centered Gaussian process and let $gamma$ be a non-negative constant. In this paper we study the asymptotics of $Pundersettin[0,mathcalT/u^{g}amma]supX(t)>u$ as $uoinfty$, with $mathcalT$ an independent of $X$ non-negative random variable. As an application, we derive the asymptotics of finite-time ruin probability of time-changed fractional Brownian motion risk processes.

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Cites work

• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
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• scientific article; zbMATH DE number 846847 (Why is no real title available?)
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• Fractional Laplace motion
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• Random Fields and Geometry
• Self-similar processes in collective risk theory
• Subexponential asymptotics of hybrid fluid and ruin models
• Tail Asymptotics of the Supremum of a Regenerative Process
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Cited in

(35)

• Piterbarg's max-discretization theorem for stationary vector Gaussian processes observed on different grids
• Itô's formula for Gaussian processes with stochastic discontinuities
• Parisian ruin of self-similar Gaussian risk processes
• Extremes of vector-valued Gaussian processes: exact asymptotics
• Extremes of Gaussian fields with a smooth random variance
• Estimation of change-point models
• Exact asymptotics of supremum of a stationary Gaussian process over a random interval
• The supremum of a Gaussian process over a random interval
• Subexponential asymptotics of hybrid fluid and ruin models
• Extremes of \(\gamma\)-reflected Gaussian processes with stationary increments
• Piterbarg theorems for chi-processes with trend
• Extrema of multi-dimensional Gaussian processes over random intervals
• On the supremum from Gaussian processes over infinite horizon
• Limit theorems for supremum of Gaussian processes over a random interval
• On the \(\gamma\)-reflected processes with fBm input
• Extremes of standard multifractional Brownian motion
• Tail bounds for the supremums of empirical processes over unbounded classes of functions
• Extremes of \(L^p\)-norm of vector-valued Gaussian processes with trend
• On maxima of chi-processes over threshold dependent grids
• Extremes of vector-valued Gaussian processes with trend
• Tail behaviour for suprema of empirical processes
• Some limit results on supremum of Shepp statistics for fractional Brownian motion
• Small tails for the supremum of a Gaussian process
• Extremes of randomly scaled Gumbel risks
• Extremes of Gaussian random fields with regularly varying dependence structure
• Extremes of threshold-dependent Gaussian processes
• Exact tail asymptotics of the supremum of strongly dependent Gaussian processes over a random interval
• Extreme value theory for a sequence of suprema of a class of Gaussian processes with trend
• Tail-Sensitive Gaussian Asymptotics for Marginals of Concentrated Measures in High Dimension
• Extremes of \(\alpha(t)\)-locally stationary Gaussian processes with non-constant variances
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• The joint distribution of running maximum of a Slepian process
• Extremes of \(\alpha(\mathbf{t})\)-locally stationary Gaussian random fields
• A note on transient Gaussian fluid models
• On the asymptotics of supremum distribution for some iterated processes

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