Extrema of multi-dimensional Gaussian processes over random intervals

Abstract: This paper studies the joint tail asymptotics of extrema of the multi-dimensional Gaussian process over random intervals defined as

P(u):=mathbb{P}left{cap_{i=1}^n left(sup_{tin[0,mathcal{T}_i]} ( X_{i}(t) +c_i t )>a_i u ight) ight}, u oinfty,

where

X_{i} (t), t g e 0

,

i = 1, 2, c d o t s, n,

are independent centered Gaussian processes with stationary increments,

is a regularly varying random vector with positive components, which is independent of the Gaussian processes, and

c_{i} i n m a t h b b R

,

a_{i} > 0

,

i = 1, 2, c d o t s, n

. Our result shows that the structure of the asymptotics of

P (u)

is determined by the signs of the drifts

c_{i}

's. We also discuss a relevant multi-dimensional regenerative model and derive the corresponding ruin probability.

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