Extrema of multi-dimensional Gaussian processes over random intervals

DOI10.1017/jpr.2021.37zbMath1492.60088OpenAlexW3089064604MaRDI QIDQ5067212

Lanpeng Ji, Xiaofan Peng

Publication date: 1 April 2022

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://eprints.whiterose.ac.uk/172988/1/Random_interval-Gaussian-LJI-XP.pdf

zbMATH Keywords

fractional Brownian motionGaussian processruin probabilityfluid modelperturbed random walkjoint tail asymptoticregenerative model

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70)

Cites Work

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