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Extremes of stationary Gasussian storage models

Probability 2015-06-22 v1

Abstract

For the stationary storage process {Q(t),t0}\{Q(t), t\ge0\}, with Q(t)=supst(X(s)X(t)c(st)β), Q(t)=\sup_{ s \ge t}\left(X(s)-X(t)-c(s-t)^\beta\right), where {X(t),t0}\{X(t),t\ge 0\} is a centered Gaussian process with stationary increments, c>0c>0 and β>0\beta>0 is chosen such that Q(t)Q(t) is finite a.s., we derive exact asymptotics of P(supt[0,Tu]Q(t)>u)\mathbb{P}\left(\sup_{t\in [0,T_u]} Q(t)>u\right) and P(inft[0,Tu]Q(t)>u)\mathbb{P}\left(\inf_{t\in [0,T_u]} Q(t)>u\right), as uu\rightarrow\infty. 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}
}

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23 pages