Extremal behavior of squared Bessel processes attracted by the Brown–Resnick process

Bikramjit Das, Sebastian Engelke and Enkelejd Hashorva

Stochastic Processes and their Applications, 2015, vol. 125, issue 2, 780-796

Abstract: The convergence of properly time-scaled and normalized maxima of independent standard Brownian motions to the Brown–Resnick process is well-known in the literature. In this paper, we study the extremal functional behavior of non-Gaussian processes, namely squared Bessel processes and scalar products of Brownian motions. It is shown that maxima of independent samples of those processes converge weakly on the space of continuous functions to the Brown–Resnick process.

Keywords: Bessel process; Brown–Resnick process; Extreme value theory; Functional convergence (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:125:y:2015:i:2:p:780-796

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DOI: 10.1016/j.spa.2014.09.006

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