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Teoriya Veroyatnostei i ee Primeneniya, 2018, Volume 63, Issue 4, Pages 669–682
DOI: https://doi.org/10.4213/tvp5189 (Mi tvp5189) 		 
This article is cited in 1 scientific paper (total in 1 paper)

Method of moments for exit probabilities of Gaussian vector processes from a large region

A. O. Klebana, 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
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DOI: https://doi.org/10.4213/tvp5189
Abstract: Asymptotic behavior of the exit probability from homothetically unboundedly expanding region is evaluated for twice continuously differentiable stationary Gaussian vector processes. The evaluation is based on the Rice's method, that is, on studying point processes of exit times from the region, with subsequent application of the Laplace asymptotic method.
Keywords: Gaussian vector process, large excursions of trajectories, asymptotic behavior, Rice's method, Laplace method, point process.
Funding agency Grant number
Russian Science Foundation 14-49-00079
This work was carried out with the partial financial support of the Russian Science Foundation (project 14-49-00079).
Received: 26.10.2017
Revised: 20.06.2018
Accepted: 21.06.2018
English version:
Theory of Probability and its Applications, 2019, Volume 63, Issue 4, Pages 545–555
DOI: https://doi.org/10.1137/S0040585X97T989246
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: A. O. Kleban, V. I. Piterbarg, “Method of moments for exit probabilities of Gaussian vector processes from a large region”, Teor. Veroyatnost. i Primenen., 63:4 (2018), 669–682; Theory Probab. Appl., 63:4 (2019), 545–555
Citation in format AMSBIB
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  • https://www.mathnet.ru/eng/tvp/v63/i4/p669
    • 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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