On the density of the maximum of smooth Gaussian processes

Diebolt, Jean ; Posse, Christian

Ann. Probab., Tome 24 (1996) no. 2, p. 1104-1129 / Harvested from Project Euclid

Résumé

We obtain an integral formula for the density of the maximum of smooth Gaussian processes. This expression induces explicit nonasymptotic lower and upper bounds which are in general asymptotic to the density. Moreover, these bounds allow us to derive simple asymptotic formulas for the density with rate of approximation as well as accurate asymptotic bounds. In particular, in the case of stationary processes, the latter upper bound improves the well-known bound based on Rice's formula. In the case of processes with variance admitting a finite number of maxima, we refine recent results obtained by Konstant and Piterbarg in a broader context, producing the rate of approximation for suitable variants of their asymptotic formulas. Our constructive approach relies on a geometric representation of Gaussian processes involving a unit speed parameterized curve embedded in the unit sphere.

Détail

Publié le : 1996-07-14
Classification:  Differential geometry,  Gaussian processes,  extreme value,  nonasymptotic formulas,  density,  60G15,  60G70,  60G17