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Fundamentalnaya i Prikladnaya Matematika, 2018, Volume 22, Issue 2, Pages 159–169 (Mi fpm1794)  
This article is cited in 2 scientific papers (total in 2 papers)

High excursions of Gaussian nonstationary processes in discrete time

I. A. Kozik, V. I. Piterbarg

Lomonosov Moscow State University, Moscow, Russia
Full-text PDF (148 kB) Citations (2)
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Abstract: Exact asymptotic behavior is given for high excursion probabilities of Gaussian processes in discrete time as the corresponding lattice pitch unboundedly decreases. The proximity of the asymptotic behavior to that in continuous time is discussed. Examples are given related to fractional Brownian motion and the corresponding ruin problem.
Funding agency Grant number
Russian Science Foundation 14-49-00079
We thank the anonymous referee for important and useful remarks. This research was financially supported by the Russian Science Foundation (research project No. 14-49-00079) and partially supported by Scientific Research Institute of System Development of Russian Academy of Sciences.
English version:
Journal of Mathematical Sciences (New York), 2021, Volume 253, Issue 6, Pages 867–874
DOI: https://doi.org/10.1007/s10958-021-05276-8
Document Type: Article
UDC: 519.218
Language: Russian
Citation: I. A. Kozik, V. I. Piterbarg, “High excursions of Gaussian nonstationary processes in discrete time”, Fundam. Prikl. Mat., 22:2 (2018), 159–169; J. Math. Sci., 253:6 (2021), 867–874
Citation in format AMSBIB
\Bibitem{KozPit18}
\by I.~A.~Kozik, V.~I.~Piterbarg
\paper High excursions of Gaussian nonstationary processes in discrete time
\jour Fundam. Prikl. Mat.
\yr 2018
\vol 22
\issue 2
\pages 159--169
\mathnet{http://mi.mathnet.ru/fpm1794}
\transl
\jour J. Math. Sci.
\yr 2021
\vol 253
\issue 6
\pages 867--874
\crossref{https://doi.org/10.1007/s10958-021-05276-8}
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    • This publication is cited in the following 2 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    		Фундаментальная и прикладная математика
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