On the distribution of the last exit time over a slowly growing linear boundary for a Gaussian process
Probability
2020-12-08 v1
Abstract
For a class of Gaussian stationary processes, we prove a limit theorem on the convergence of the distributions of the scaled last exit time over a slowly growing linear boundary. The limit is a double exponential (Gumbel) distribution.
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Cite
@article{arxiv.2012.03222,
title = {On the distribution of the last exit time over a slowly growing linear boundary for a Gaussian process},
author = {Nikita Karagodin and Mikhail Lifshits},
journal= {arXiv preprint arXiv:2012.03222},
year = {2020}
}
Comments
13 pages