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

DOI10.37190/0208-4147.00043OpenAlexW3204128329MaRDI QIDQ5871409

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

Gaussian processlimit theoremlast exit timenonlinear boundarydouble exponential law

Mathematics Subject Classification ID

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

Related Items (1)

The asymptotic relation between the first crossing point and the last exit time of Gaussian order statistics sequences

Cites Work

• On first and last ruin times of Gaussian processes
• A limit theorem for the time of ruin in a Gaussian ruin problem
• The time of ultimate recovery in Gaussian risk model
• First and last passage times of spectrally positive Lévy processes with application to reliability
• Parisian ruin of self-similar Gaussian risk processes
• On the first hitting time and the last exit time for a Brownian motion to/from a moving boundary
• Remarks on Pickands theorem
• Breaking a Chain of Interacting Brownian Particles: A Gumbel Limit Theorem
• On the Distribution of the Last Exit Time over a Slowly Growing Linear Boundary for a Gaussian Process
• Asymptotic Properties of the Maximum in a Stationary Gaussian Process
• Limit Theorems for the Maximum Term in Stationary Sequences
• Universal break law for a class of models of polymer rupture
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: A limit theorem for the last exit time over a moving nonlinear boundary for a Gaussian process