English

Extremes of Spherical Fractional Brownian Motion

Probability 2019-02-26 v4

Abstract

Let {Bβ(x),xSN}\{B_\beta (x), x \in \mathbb{S}^N\} be a fractional Brownian motion on the NN-dimensional unit sphere SN\mathbb{S}^N with Hurst index β\beta. We study the excursion probability P{supxTBβ(x)>u}\mathbb{P}\{\sup_{x\in T} B_\beta(x) > u \} and obtain the asymptotics as uu\to \infty, where TT can be the entire sphere SN\mathbb{S}^N or a geodesic disc on SN\mathbb{S}^N.

Keywords

Cite

@article{arxiv.1806.02965,
  title  = {Extremes of Spherical Fractional Brownian Motion},
  author = {Dan Cheng and Peng Liu},
  journal= {arXiv preprint arXiv:1806.02965},
  year   = {2019}
}