Extremes of Gaussian processes with random variance

zbMATH Open1231.60030MaRDI QIDQ638436FDOQ638436

Authors: J. Hüsler, Yueming Zhang, V. I. Piterbarg 

Publication date: 9 September 2011

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: http://www.emis.de/journals/EJP-ECP/_ejpecp/viewarticle6d29.html

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zbMATH Keywords

Gaussian processesfractional Brownian motionsruin probabilityrandom variancelocally stationary

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Central limit and other weak theorems (60F05)

Cited In (23)

• Extremes of Gaussian processes with smooth random expectation and smooth random variance
• Some asymptotic results of Gaussian random fields with varying mean functions and the associated processes
• Extremes of Gaussian fields with a smooth random variance
• Minima and maxima of elliptical arrays and spherical processes
• Extremes of independent Gaussian processes
• Extremes of Gaussian processes with a smooth random variance
• Extreme values of the cyclostationary Gaussian random process
• Sojourn times of Gaussian processes with random parameters
• Sojourns of stationary Gaussian processes over a random interval
• Extremes of \(\gamma\)-reflected Gaussian processes with stationary increments
• Extremes of Gaussian process and the constant \(H_\alpha\)
• Probability tails of Gaussian extrema
• Extremes of \(\alpha(t)\)-locally stationary Gaussian processes with non-constant variances
• Extremes of Gaussian processes with a smooth random trend
• Efficient simulations for the exponential integrals of Hölder continuous Gaussian random fields
• Extremes of Gaussian random fields with regularly varying dependence structure
• Extrema of multi-dimensional Gaussian processes over random intervals
• On the conditional distributions and the efficient simulations of exponential integrals of Gaussian random fields
• Extremal ranks and transformation of variables for extremes of functions of multivariate Gaussian processes
• Extremes of Shepp statistics for Gaussian random walk
• Extremes of vector-valued Gaussian processes with trend
• Probabilities of high extremes for a Gaussian stationary process in a random environment
• Extremes of Gaussian processes, on results of Piterbarg and Seleznjev

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