Max-stable processes and stationary systems of Lévy particles

DOI10.1016/J.SPA.2015.07.001zbMATH Open1330.60065arXiv1412.7444OpenAlexW1983033401MaRDI QIDQ491189FDOQ491189

Authors: Zakhar Kabluchko, Sebastian Engelke 

Publication date: 24 August 2015

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

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.

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

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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)

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Cited In (9)

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

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