The harmonic mean formula for random processes

DOI10.1080/07362994.2022.2055574MaRDI QIDQ6046013zbMATH OpenOpenAlexWikidataFDO

Authors Krzysztof Bisewski, Enkelejd Hashorva, G. M. Shevchenko

Publication date 15 May 2023

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2106.11707

zbMATH Keywords

occupation timesojourn timePickands constantsstochastic continuityharmonic mean formulacontinuity of distribution of supremum

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Sample path properties (60G17) General theory of stochastic processes (60G07)

Abstract: Motivated by the harmonic mean formula in [1], we investigate the relation between the sojourn time and supremum of a random process $X(t),tinmathbb{R}^d$ and extend the harmonic mean formula for general stochastically continuous $X$. We discuss two applications concerning the continuity of distribution of supremum of $X$ and representations of classical Pickands constants.

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Cited in

(2)

• On the speed of convergence of discrete Pickands constants to continuous ones
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