Fundamentalnaya i Prikladnaya Matematika
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Archive
Impact factor
Journal history

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS


Fundam. Prikl. Mat.:
Year:
Volume:
Issue:
Page:
Find




Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register

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)
References:
PDF
HTML
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}
Linking options:
  • https://www.mathnet.ru/eng/fpm1794
  • https://www.mathnet.ru/eng/fpm/v22/i2/p159
    • This publication is cited in the following 2 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Фундаментальная и прикладная математика
    Statistics & downloads:
    Abstract page:241
    Full-text PDF :119
    References:30
     
      Contact us:
    		  Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2024