Crude asymptotics of the probability of simultaneous high extrema of two Gaussian processes: the dual action functional

DOI10.1070/RM2005V060N01ABEH000817MaRDI QIDQ5465675zbMATH OpenOpenAlexFDO

Authors Biljana Stamatovic, V. I. Piterbarg

Publication date 12 August 2005

Published in Russian Mathematical Surveys (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1070/rm2005v060n01abeh000817

zbMATH Keywords

large deviationssimultaneous extrema

Mathematics Subject Classification ID

Large deviations (60F10) Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70)

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(11)

• Transient characteristics of Gaussian queues
• Extremes of vector-valued Gaussian processes with trend
• Extremes of vector-valued Gaussian processes
• Double extreme on joint sets for Gaussian random fields
• Large deviations of bivariate Gaussian extrema
• On the Probability of Simultaneous Extremes of Two Gaussian Nonstationary Processes
• Tail approximation for reinsurance portfolios of Gaussian-like risks
• Extrema of multi-dimensional Gaussian processes over random intervals
• Uniform tail approximation of homogenous functionals of Gaussian fields
• Extremes of multidimensional Gaussian processes
• The expected Euler characteristic approximation to excursion probabilities of Gaussian vector fields

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