Extremes of alpha(t)-locally Stationary Gaussian Random Fields
Probability
2013-09-03 v1
Abstract
This contribution derives the exact asymptotic behaviour of the supremum of alpha(t)-locally stationary Gaussian random fields over a finite hypercube. We present two applications of our result; the first one deals with extremes of ggregate multifractional Brownian motions, whereas the second application establishes the exact asymptotics of the supremum of chi-processes generated by multifractional Brownian motions.
Keywords
Cite
@article{arxiv.1309.0256,
title = {Extremes of alpha(t)-locally Stationary Gaussian Random Fields},
author = {Enkelejd Hashorva and Lanpeng Ji},
journal= {arXiv preprint arXiv:1309.0256},
year = {2013}
}
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22 pages