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Teoriya Veroyatnostei i ee Primeneniya, 2005, Volume 50, Issue 3, Pages 417–432
DOI: https://doi.org/10.4213/tvp86 (Mi tvp86) 		 
This article is cited in 6 scientific papers (total in 6 papers)

On a probability of simultaneously extremes of two Gaussian nonstationary processes

A. Anshin

M. V. Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
Full-text PDF (1120 kB) Citations (6)
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DOI: https://doi.org/10.4213/tvp86
Abstract: This paper deals with the probability of simultaneous extremes of two Gaussian nonstationary processes $\mathbf{P}\bigl\{\max_{t\in[0,T]}X_1(t)>u,\ \max_{s\in[0,T]}X_2(s)>u\bigr\}$. The exact asymptotic representation for the probability is found as $u\to\infty$. The main tool for finding the asymptotics is a development of the double sum method.
Keywords: Gaussian nonstationary processes, extremum, double sum method.
Received: 30.12.2004
English version:
Theory of Probability and its Applications, 2006, Volume 50, Issue 3, Pages 353–366
DOI: https://doi.org/10.1137/S0040585X97981809
Bibliographic databases:
Language: Russian
Citation: A. Anshin, “On a probability of simultaneously extremes of two Gaussian nonstationary processes”, Teor. Veroyatnost. i Primenen., 50:3 (2005), 417–432; Theory Probab. Appl., 50:3 (2006), 353–366
Citation in format AMSBIB
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    • This publication is cited in the following 6 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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