Max-stable processes and stationary systems of Lévy particles

DOI10.1016/J.SPA.2015.07.001MaRDI QIDQ491189zbMATH OpenOpenAlexFDO

Authors Zakhar Kabluchko, Sebastian Engelke

Publication date 24 August 2015

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1412.7444

zbMATH Keywords

extreme value theoryKuznetsov measurePoisson point processesexponential intensitystationary max-stable processesLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70) Stationary stochastic processes (60G10) Functional limit theorems; invariance principles (60F17) Stable stochastic processes (60G52)

Abstract: We study stationary max-stable processes $eta(t)colontinmathbbR$ admitting a representation of the form $eta(t)=ma{x}_{iinmathbbN}(U_i+Y_i(t))$, where $su{m}_{i=1}^{infty}delt{a}_{U_i}$ is a Poisson point process on $mathbbR$ with intensity ${me}^{-u}mdu$, and $Y_1,Y_2,ldots$ are i.i.d. copies of a process $Y(t)colontinmathbbR$ obtained by running a L'evy process for positive $t$ and a dual L'evy process for negative $t$. We give a general construction of such L'evy-Brown-Resnick processes, where the restrictions of $Y$ to the positive and negative half-axes are L'evy processes with random birth and killing times. We show that these max-stable processes appear as limits of suitably normalized pointwise maxima of the form $M_n(t)=ma{x}_{i=1,ldots,n}x{i}_i(s_n+t)$, where $x{i}_1,x{i}_2,ldots$ are i.i.d. L'evy processes and $s_n$ is a sequence such that $s_{n}simclogn$ with $c>0$. Also, we consider maxima of the form $ma{x}_{i=1,ldots,n}{Z}_i(t/logn)$, where $Z_1,Z_2,ldots$ are i.i.d. Ornstein--Uhlenbeck processes driven by an $alpha$-stable noise with skewness parameter $$. After a linear normalization, we again obtain limiting max-stable processes of the above form. This gives a generalization of the results of Brown and Resnick [Extreme values of independent stochastic processes, J. Appl. Probab., 14 (1977), pp. 732--739] to the totally skewed $alpha$-stable case.

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Cited in

(9)

• Generalized Pickands constants and stationary max-stable processes
• Stationary max-stable fields associated to negative definite functions
• Extremes of \(q\)-Ornstein-Uhlenbeck processes
• On Extremal Index of max-stable stationary processes
• Shift-invariant homogeneous classes of random fields
• Stationarity of multivariate particle systems
• Representations of \(\max\)-stable processes via exponential tilting
• A Lévy-derived process seen from its supremum and max-stable processes
• Approximation of supremum of max-stable stationary processes \& Pickands constants

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