High excursions of Bessel and related random processes

Vladimir Piterbarg () and Igor V. Rodionov

Stochastic Processes and their Applications, 2020, vol. 130, issue 8, 4859-4872

Abstract: Asymptotic behavior of large excursions probabilities is evaluated for Euclidean norm of a wide class of Gaussian non-stationary vector processes with independent identically distributed components. It is assumed that the components have means zero and variances reaching its absolute maximum at only one point of the considered time interval. The Bessel process is an important example of such processes.

Keywords: Bessel process; Gaussian process; High excursions; Pickands’ constant (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spa.2020.02.002

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