Sojourns and Extremes of Gaussian Processes
Berman, Simeon M.
Ann. Probab., Tome 2 (1974) no. 6, p. 999-1026 / Harvested from Project Euclid
Let $X(t), 0 \leqq t \leqq 1$, be a real Gaussian process with mean 0 and continuous sample functions. For $u > 0$, form the process $u(X(t) - u)$. In this paper two related problems are studied. (i) Let $G$ be a nonnegative measurable function, and put $L = \int^1_0 G(u(X(t) - u)) dt$. For certain classes of processes $X$ and functions $G$, we find, for $u \rightarrow \infty$, the limiting conditional distribution of $L$ given that it is positive. (ii) For the same class of processes $X$, we find the asymptotic form of $P(\max_{\lbrack 0,1 \rbrack} X(t) > u)$ for $u \rightarrow \infty$. Finally, these results are extended to the process with the "moving barrier," $X(t) - f(t)$, where $f$ is a continuous function.
Publié le : 1974-12-14
Classification:  Gaussian proces,  level barrier,  moving barrier Sample function miximum,  weak compactness,  local stationarity,  regular variation,  60G10,  60G15,  60G17,  60F99
@article{1176996495,
     author = {Berman, Simeon M.},
     title = {Sojourns and Extremes of Gaussian Processes},
     journal = {Ann. Probab.},
     volume = {2},
     number = {6},
     year = {1974},
     pages = { 999-1026},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176996495}
}
Berman, Simeon M. Sojourns and Extremes of Gaussian Processes. Ann. Probab., Tome 2 (1974) no. 6, pp.  999-1026. http://gdmltest.u-ga.fr/item/1176996495/