Extremes of Gaussian Random Fields with maximum variance attained over smooth curves

MaRDI QIDQ6281177zbMATH OpenFDO

Authors Peng Liu

Publication date 22 December 2016

Mathematics Subject Classification ID

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

Abstract: Let $X(s,t),(s,t)inE$, with $Esubsetmathbb{R}^2$ a compact set, be a centered two dimensional Gaussian random field with continuous trajectories and variance function $sigma(s,t)$. Denote by $mathcalL=(s,t):sigma(s,t)=ma{x}_{(s^{\prime },t^{\prime })inE}sigma(s^{\prime },t^{\prime })$. In this contribution, we derive the exact asymptotics of $mathbbPleft(su{p}_{(s,t)inE}X(s,t)>uight)$, as $uoinfty$, under condition that $mathcalL$ is a smooth curve. We illustrate our findings by an application concerned with extremes of the aggregation of two independent fractional Brownian motions.

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