Logarithmic Asymptotics for Multidimensional Extremes Under Nonlinear Scalings

DOI10.1239/jap/1429282607zbMath1321.60048arXiv1211.1318OpenAlexW3101883585MaRDI QIDQ5252237

Kamil M. Kosiński, M. R. H. Mandjes

Publication date: 29 May 2015

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

Full work available at URL: https://arxiv.org/abs/1211.1318

zbMATH Keywords

large deviation theoryextrema of stochastic processes

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Large deviations (60F10)

Related Items (3)

RARE EVENT ANALYSIS AND EFFICIENT SIMULATION FOR A MULTI-DIMENSIONAL RUIN PROBLEM ⋮ Extremes of vector-valued Gaussian processes ⋮ Large deviations of bivariate Gaussian extrema

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