Pickands’ constant at first order in an expansion around Brownian motion

DOI10.1088/1751-8121/AA5C98zbMATH Open1367.60036arXiv1609.07909OpenAlexW3104511356MaRDI QIDQ5267832FDOQ5267832

Mathieu Delorme, K. J. Wiese, Alberto Rosso

Publication date: 13 June 2017

Published in: Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Abstract: In the theory of extreme values of Gaussian processes, many results are expressed in terms of the Pickands constant $mathcal{H}_{alpha}$. This constant depends on the local self-similarity exponent $alpha$ of the process, i.e. locally it is a fractional Brownian motion (fBm) of Hurst index $H=alpha/2$. Despite its importance, only two values of the Pickands constant are known: ${calH}_1=1$ and ${calH}_2=1/sqrtpi$. Here, we extend the recent perturbative approach to fBm to include drift terms. This allows us to investigate the Pickands constant $mathcal{H}_{alpha}$ around standard Brownian motion ($alpha=1$) and to derive the new exact result $mathcal{H}_{alpha}=1-(alpha-1)gamm{a}_{mE}+mathcalO!left(alpha-1ight{)}^2$.

Full work available at URL: https://arxiv.org/abs/1609.07909

zbMATH Keywords

fractional Brownian motionextreme value statisticsPickhands constant

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65)

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Cited In (5)

• Generalized Pickands constants and stationary max-stable processes
• Extreme value statistics of correlated random variables: a pedagogical review
• Statistics of the maximum and the convex hull of a Brownian motion in confined geometries
• On Extremal Index of max-stable stationary processes
• Derivatives of sup-functionals of fractional Brownian motion evaluated at \(H=\frac{1}{2}\)

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