Related papers: Extremes of threshold-dependent Gaussian processes

Local increases in the mean of a random field are detected (conservatively) by thresholding a field of test statistics at a level $u$ chosen to control the tail probability or $p$-value of its maximum. This $p$-value is approximated by the…

In a variety of problems in pure and applied probability, it is of relevant to study the large exceedance probabilities of the perpetuity sequence $Y_n := B_1 + A_1 B_2 + \cdots + (A_1 \cdots A_{n-1}) B_n$, where $(A_i,B_i) \subset…

For a centered, homogeneous R^d-valued Gaussian random field X(t), t in R^k, with covariance matrix function R(s,t) = E[X(s) X(t)^T], we investigate the exact asymptotics of kappa_u(x) = P( theta(u) * integral over [0,T]^k of 1{X(t) > u b}…

Let $X=\{X(x): x\in\mathbb{S}^N\}$ be a real-valued, centered Gaussian random field indexed on the $N$-dimensional unit sphere $\mathbb{S}^N$. Approximations to the excursion probability ${\mathbb{P}}\{\sup_{x\in\mathbb{S}^N}X(x)\ge u\}$,…

In this paper, we analyze the asymptotic behavior of the point process of exceedances in a spatio-temporal setting whose points are given by the rescaled occurrence times, the sites and the rescaled values of exceedances. Here, the…

We examine hitting probability problems for Ornstein-Uhlenbeck (OU) processes and Geometric Brownian motions (GBM) with respect to exponential boundaries related to problems arising in risk theory and asset and liability models in pension…

Let x(s), s in R^d be a Gaussian self-similar random process of index H. We consider the problem of log-asymptotics for the probability p(T) that x(s), x(0)=0 does not exceed a fixed level in a star-shaped expanding domain TxG as T>>1. We…

This article deals with the asymptotic behaviour as $t\to +\infty$ of the survival function $P[T > t],$ where $T$ is the first passage time above a non negative level of a random process starting from zero. In many cases of physical…

We consider a classical risk process with arrival of claims following a non-stationary Hawkes process. We study the asymptotic regime when the premium rate and the baseline intensity of the claims arrival process are large, and claim size…

Let $X = \{X(t): t\in T \}$ be a non-centered, unit-variance, smooth Gaussian random field indexed on some parameter space $T$, and let $A_u(X,T) = \{t\in T: X(t)\geq u\}$ be the excursion set of $X$ exceeding level $u$. Under certain…

We give a dimension-independent sparsification result for suprema of centered Gaussian processes: Let $T$ be any (possibly infinite) bounded set of vectors in $\mathbb{R}^n$, and let $\{\boldsymbol{X}_t := t \cdot \boldsymbol{g} \}_{t\in…

Results of penalization of a one-dimensional Brownian motion $(X_t) $, by its one-sided maximum $\dis (S_t=\sup_{0 \leq u \leq t}X_u)$, which were recently obtained by the authors are improved with the consideration-in the present paper- of…

Higher criticism is a large-scale testing procedure that can attain the optimal detection boundary for sparse and faint signals. However, there has been a lack of knowledge in most existing works about its asymptotic distribution for more…

The asymptotic analysis of covariance parameter estimation of Gaussian processes has been subject to intensive investigation. However, this asymptotic analysis is very scarce for non-Gaussian processes. In this paper, we study a class of…

Let $\xi_1,\xi_2,\ldots$ be independent, identically distributed random variables with infinite mean $\mathbf E[|\xi_1|]=\infty.$ Consider a random walk $S_n=\xi_1+\cdots+\xi_n$, a stopping time $\tau=\min\{n\ge 1: S_n\le 0\}$ and let…

In this paper, the asymptotic behavior of the entrance probability of discounted aggregate claims of a certain family of rare sets is studied, considering the finite and infinite time horizons. This multivariate risk model, driven by a…

We consider the sum of two self-similar centred Gaussian processes with different self-similarity indices. Under non-negativity assumptions of covariance functions and some further minor conditions, we show that the asymptotic behaviour of…

Let $X = \{X_{u}\}_{u \in U}$ be a real-valued Gaussian process indexed by a set $U$. It can be thought of as an undirected graphical model with every random variable $X_{u}$ serving as a vertex. We characterize this graph in terms of the…

We study the asymptotic behaviour of the probability that a weighted sum of centered i.i.d. random variables X_k does not exceed a constant barrier. For regular random walks, the results follow easily from classical fluctuation theory,…

In this expository work we discuss the asymptotic behaviour of the solutions of the classical heat equation posed in the whole Euclidean space. After an introductory review of the main facts on the existence and properties of solutions, we…