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

DOI10.1007/S10687-014-0186-9zbMATH Open1306.60033arXiv1311.5919OpenAlexW2113310316MaRDI QIDQ488106FDOQ488106

Authors: Enkelejd Hashorva, Lanpeng Ji, Krzysztof Dȩbicki 

Publication date: 23 January 2015

Published in: Extremes (Search for Journal in Brave)

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.

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

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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)

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Cited In (35)

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

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