Asymptotics of supremum distribution of a Gaussian process over a Weibullian time

DOI10.3150/10-BEJ266zbMATH Open1284.60074arXiv0909.3667OpenAlexW2132474128MaRDI QIDQ637097FDOQ637097

Krzysztof Dȩbicki, Marek Arendarczyk

Publication date: 2 September 2011

Published in: Bernoulli (Search for Journal in Brave)

Abstract: Let $X(t):tin[0,infty)$ be a centered Gaussian process with stationary increments and variance function $sigm{a}_X^2(t)$. We study the exact asymptotics of $mathbbP(su{p}_{tin[0,T]}X(t)>u)$ as $uoinfty$, where $T$ is an independent of $X(t)$ non-negative Weibullian random variable. As an illustration, we work out the asymptotics of the supremum distribution of fractional Laplace motion.

Full work available at URL: https://arxiv.org/abs/0909.3667

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zbMATH Keywords

Gaussian processexact asymptoticsfractional Laplace motion

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Fractional processes, including fractional Brownian motion (60G22) Foundations of stochastic processes (60G05)

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Cited In (29)

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• Exact asymptotics of supremum of a stationary Gaussian process over a random interval
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• Asymptotic expansion of Gaussian chaos via probabilistic approach
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• Maxima and minima of complete and incomplete stationary sequences
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• On the distribution-tail behaviour of the product of normal random variables

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