A limit theorem for the last exit time over a moving nonlinear boundary for a Gaussian process
Probability
2022-06-01 v2
Abstract
We prove a limit theorem on the convergence of the distributions of the scaled last exit time over a slowly moving nonlinear boundary for a class of Gaussian stationary processes. The limit is a double exponential (Gumbel) distribution.
Cite
@article{arxiv.2110.01046,
title = {A limit theorem for the last exit time over a moving nonlinear boundary for a Gaussian process},
author = {Nikita Karagodin},
journal= {arXiv preprint arXiv:2110.01046},
year = {2022}
}
Comments
20 pages. Revised structure and fixed typos, results unchanged. arXiv admin note: substantial text overlap with arXiv:2012.03222