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Teoriya Veroyatnostei i ee Primeneniya, 2018, Volume 63, Issue 2, Pages 240–259
DOI: https://doi.org/10.4213/tvp5120
(Mi tvp5120)
 

This article is cited in 1 scientific paper (total in 1 paper)

Massive excursions of Gaussian isotropic fields. Method of moments

V. I. Piterbargabc

a Lomonosov Moscow State University
b National Research University "Moscow Power Engineering Institute"
c Scientific Research Institute for System Analysis of the Russian Academy of Sciences, Moscow
Full-text PDF (554 kB) Citations (1)
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Abstract: The asymptotic behavior of probability of large massive excursions above a high level is evaluated for Gaussian isotropic twice differentiable Gaussian fields. A massive excursion is the excursion with base diameter exceeding a fixed positive number. For proofs, we introduce and study a vector Gaussian process with components that are independent copies of the initial field, and consider the point process of exits of trajectories of this process from an appropriate infinitely expanding set. By studying the asymptotic behavior of the first and second moments of distribution of this point process, the desired asymptotic behavior is obtained. Moreover, general results on the logarithmic (rough) asymptotic behavior of the large massive excursion probabilities are put forward.
Keywords: Gaussian field, massive excursions, Rice moment method, point process, critical points of excursions.
Funding agency Grant number
Russian Science Foundation 14-49-00079
This work was partially supported by the Russian Scientific Foundation (grant 14-49-00079).
Received: 23.01.2017
Revised: 12.10.2017
English version:
Theory of Probability and its Applications, 2018, Volume 63, Issue 2, Pages 193–208
DOI: https://doi.org/10.1137/S0040585X97T989003
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: V. I. Piterbarg, “Massive excursions of Gaussian isotropic fields. Method of moments”, Teor. Veroyatnost. i Primenen., 63:2 (2018), 240–259; Theory Probab. Appl., 63:2 (2018), 193–208
Citation in format AMSBIB
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\paper Massive excursions of Gaussian isotropic fields. Method of moments
\jour Teor. Veroyatnost. i Primenen.
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\pages 240--259
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\pages 193--208
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  • https://www.mathnet.ru/eng/tvp5120
  • https://doi.org/10.4213/tvp5120
  • https://www.mathnet.ru/eng/tvp/v63/i2/p240
  • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Теория вероятностей и ее применения Theory of Probability and its Applications
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    References:36
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