On the Hitting Probability of Max-Stable Processes
Probability
2012-06-27 v1
Abstract
The probability that a max-stable process {\eta} in C[0, 1] with identical marginal distribution function F hits x \in R with 0 < F (x) < 1 is the hitting probability of x. We show that the hitting probability is always positive, unless the components of {\eta} are completely dependent. Moreover, we consider the event that the paths of standard MSP hit some x \in R twice and we give a sufficient condition for a positive probability of this event.
Cite
@article{arxiv.1206.5913,
title = {On the Hitting Probability of Max-Stable Processes},
author = {Martin Hofmann},
journal= {arXiv preprint arXiv:1206.5913},
year = {2012}
}
Comments
8 pages