English

Sample path properties of reflected Gaussian processes

Probability 2018-05-22 v2

Abstract

We consider a stationary queueing process QXQ_X fed by a centered Gaussian process XX with stationary increments and variance function satisfying classical regularity conditions. A criterion when, for a given function ff, P(QX(t)>f(t) i.o.)\mathbb P (Q_{X}(t) > f(t)\, \text{ i.o.}) equals 0 or 1 is provided. Furthermore, an Erd\"os-R\'ev\'esz type law of the iterated logarithm is proven for the last passage time ξ(t)=sup{s:0st,QX(s)f(s)}\xi (t) = \sup\{s:0\le s\le t, Q_{X}(s)\ge f(s)\}. Both of these findings extend previously known results that were only available for the case when XX is a fractional Brownian motion.

Keywords

Cite

@article{arxiv.1711.01165,
  title  = {Sample path properties of reflected Gaussian processes},
  author = {Kamil Marcin Kosiński and Peng Liu},
  journal= {arXiv preprint arXiv:1711.01165},
  year   = {2018}
}

Comments

arXiv admin note: substantial text overlap with arXiv:1612.09229

R2 v1 2026-06-22T22:35:19.179Z