A limit theorem for the last exit time over a moving nonlinear boundary for a Gaussian process

DOI10.37190/0208-4147.00043MaRDI QIDQ5871409zbMATH OpenOpenAlexFDO

Authors Nikita Karagodin

Publication date 19 January 2023

Published in Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2110.01046

zbMATH Keywords

double exponential lawGaussian processlast exit timelimit theoremnonlinear boundary

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Gaussian processes (60G15)

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Cites work

• A limit theorem for the time of ruin in a Gaussian ruin problem
• Asymptotic Properties of the Maximum in a Stationary Gaussian Process
• Breaking a chain of interacting Brownian particles: a Gumbel limit theorem
• First and last passage times of spectrally positive Lévy processes with application to reliability
• scientific article; zbMATH DE number 193528 (Why is no real title available?)
• scientific article; zbMATH DE number 782652 (Why is no real title available?)
• Limit Theorems for the Maximum Term in Stationary Sequences
• On first and last ruin times of Gaussian processes
• On the distribution of the last exit time over a slowly growing linear boundary for a Gaussian process
• On the first hitting time and the last exit time for a Brownian motion to/from a moving boundary
• Parisian ruin of self-similar Gaussian risk processes
• Remarks on Pickands' theorem
• The time of ultimate recovery in Gaussian risk model
• Twenty lectures about Gaussian processes
• Universal break law for a class of models of polymer rupture

Cited in

(4)

• Local limit theorem for the distibution of s_n
• scientific article; zbMATH DE number 3896004 (Why is no real title available?)
• On the distribution of the last exit time over a slowly growing linear boundary for a Gaussian process
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