Extremes of Gaussian processes with a smooth random variance
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Publication:719775
DOI10.1016/j.spa.2011.06.006zbMath1228.60059MaRDI QIDQ719775
Ekaterina Rumyantseva, Vladimir I. Piterbarg, Juerg Hüsler
Publication date: 11 October 2011
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2011.06.006
fractional Brownian motion; Gaussian process; large deviations; ruin probability; extremes; random variance; locally stationary; conditional Gaussian process
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