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Teoriya Veroyatnostei i ee Primeneniya, 2021, Volume 66, Issue 3, Pages 419–432
DOI: https://doi.org/10.4213/tvp5463 (Mi tvp5463) 		 
This article is cited in 1 scientific paper (total in 1 paper)

On the distribution of the last exit time over a slowly growing linear boundary for a Gaussian process

N. A. Karagodina, M. A. Lifshitsb

a Euler International Mathematical Institute, St. Petersburg
b Saint Petersburg State University
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DOI: https://doi.org/10.4213/tvp5463
Abstract: For a class of Gaussian stationary processes, we prove a limit theorem on the convergence of the distributions of the scaled last exit time over a slowly growing linear boundary. The limit is a double exponential (Gumbel) distribution.
Keywords: last exit time, Gaussian process, limit theorem, double exponential law.
Funding agency Grant number
Russian Foundation for Basic Research 20-51-12004
The work of M. A. Lifshits was supported by RFBR-DFG grant 20-51-12004.
Received: 10.12.2020
Revised: 04.03.2021
English version:
Theory of Probability and its Applications, 2021, Volume 66, Issue 3, Pages 337–347
DOI: https://doi.org/10.1137/S0040585X97T990435
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: N. A. Karagodin, M. A. Lifshits, “On the distribution of the last exit time over a slowly growing linear boundary for a Gaussian process”, Teor. Veroyatnost. i Primenen., 66:3 (2021), 419–432; Theory Probab. Appl., 66:3 (2021), 337–347
Citation in format AMSBIB
\Bibitem{KarLif21}
\by N.~A.~Karagodin, M.~A.~Lifshits
\paper On the distribution of the last exit time over a~slowly growing linear boundary for a~Gaussian process
\jour Teor. Veroyatnost. i Primenen.
\yr 2021
\vol 66
\issue 3
\pages 419--432
\mathnet{http://mi.mathnet.ru/tvp5463}
\crossref{https://doi.org/10.4213/tvp5463}
\zmath{https://zbmath.org/?q=an:1479.60075}
\transl
\jour Theory Probab. Appl.
\yr 2021
\vol 66
\issue 3
\pages 337--347
\crossref{https://doi.org/10.1137/S0040585X97T990435}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-85129661660}
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  • https://doi.org/10.4213/tvp5463
  • https://www.mathnet.ru/eng/tvp/v66/i3/p419
    • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    		Теория вероятностей и ее применения Theory of Probability and its Applications
     
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