Extremes of a certain class of Gaussian processes

J. Hüsler and V. Piterbarg

Stochastic Processes and their Applications, 1999, vol. 83, issue 2, 257-271

Abstract: We consider the extreme values of fractional Brownian motions, self-similar Gaussian processes and more general Gaussian processes which have a trend -ct[beta] for some constants c,[beta]>0 and a variance t2H. We derive the tail behaviour of these extremes and show that they occur mainly in the neighbourhood of the unique point t0 where the related boundary function (u+ct[beta])/tH is minimal. We consider the case that H

Keywords: Extreme; values; Gaussian; processes; Fractional; Brownian; motions; Self-similar; processes (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (25)

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