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

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

Authors: Mathieu Delorme, Alberto Rosso, K. J. Wiese 

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

Recommendations

• Some Properties of Generalized Pickands Constants
• A note on upper estimates for Pickands constants
• scientific article; zbMATH DE number 1850764
• A new proof of an old result by Pickands
• Pickands' constant \(H_{\alpha}\) does not equal \(1/\Gamma(1/\alpha)\), for small \(\alpha\)

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)

Cites Work

• Fractional Brownian Motions, Fractional Noises and Applications
• Level-spacing distributions and the Airy kernel
• Asymptotic Properties of the Maximum in a Stationary Gaussian Process
• The Brunn-Minkowski inequality in Gauss space
• Twenty lectures about Gaussian processes
• On asymptotic constants in the theory of extremes for Gaussian processes
• Polymers on disordered trees, spin glasses, and traveling waves.
• A note on upper estimates for Pickands constants
• Stationary min-stable stochastic processes
• Pickands' constant \(H_{\alpha}\) does not equal \(1/\Gamma(1/\alpha)\), for small \(\alpha\)
• Remarks on Pickands' theorem
• Universal first-passage properties of discrete-time random walks and Lévy flights on a line: statistics of the global maximum and records
• Survival probability of a Gaussian non-Markovian process: application to the \(T=0\) dynamics of the Ising model

Cited In (8)

• On generalized Berman constants
• Pickands-Piterbarg constants for self-similar Gaussian processes
• 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 \(H=\frac{1}{2}\)
• A note on upper estimates for Pickands constants

This page was built for publication: Pickands' constant at first order in an expansion around Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5267832)