Extremes of stationary Gasussian storage models
Probability
2015-06-22 v1
Abstract
For the stationary storage process , with where is a centered Gaussian process with stationary increments, and is chosen such that is finite a.s., we derive exact asymptotics of and , as . As a by-product we find conditions under which strong Piterbarg property holds.
Keywords
Cite
@article{arxiv.1506.05821,
title = {Extremes of stationary Gasussian storage models},
author = {Krzysztof Dȩbicki and Peng Liu},
journal= {arXiv preprint arXiv:1506.05821},
year = {2015}
}
Comments
23 pages