相关论文: On the asymptotics of supremum distribution for so…
Let $\{X(t):t\in[0,\infty)\}$ be a centered Gaussian process with stationary increments and variance function $\sigma^2_X(t)$. We study the exact asymptotics of ${\mathbb{P}}(\sup_{t\in[0,T]}X(t)>u)$ as $u\to\infty$, where $T$ is an…
Let $\{X(t) : t \in [0, \infty) \}$ be a centered stationary Gaussian process. We study the exact asymptotics of $\pr (\sup_{s \in [0,T]} X(t) > u)$, as $u \to \infty$, where $T$ is an independent of \{X(t)\} nonnegative random variable. It…
Let $\{X(t),t\ge0\}$ be a centered Gaussian process and let $\gamma$ be a non-negative constant. In this paper we study the asymptotics of $P\{\underset{t\in [0,\mathcal{T}/u^\gamma]}\sup X(t)>u\}$ as $u\to\infty$, with $\mathcal{T}$ an…
In this contribution we are concerned with the asymptotic behaviour as $u\to \infty$ of $\mathbb{P}\{\sup_{t\in [0,T]} X_u(t)> u\}$, where $X_u(t),t\in [0,T],u>0$ is a family of centered Gaussian processes with continuous trajectories. A…
In this paper, we consider the distribution of the supremum of non-stationary Gaussian processes, and present a new theoretical result on the asymptotic behaviour of this distribution. Unlike previously known facts in this field, our main…
We investigate the tail asymptotics of the supremum of X(t)+Y(t)-ct, where X={X(t),t\geq 0} and Y={Y(t),t\geq 0} are two independent stochastic processes. We assume that the process Y has subexponential characteristics and that the process…
In this article we derive formulas for the probability $P(\sup_{t\leq T} X(t)>u)$ $T>0$ and $P(\sup_{t<\infty} X(t)>u)$ where $X$ is a spectrally positive L\'evy process with infinite variation. The formulas are generalizations of the…
We study asymptotic behaviour of stochastic approximation procedures with three main characteristics: truncations with random moving bounds, a matrix valued random step-size sequence, and a dynamically changing random regression function.…
We investigate asymptotics of the tail distribution of sojourn time $$ \int_0^T \mathbb{I}(X(t)> u)dt, $$ as $u\to\infty$, where $X$ is a centered stationary Gaussian process and $T$ is an independent of $X$ nonnegative random variable. The…
We study the asymptotic behaviour of the probability that a stochastic process $(Z_t)_{t \geq 0}$ does not exceed a constant barrier up to time $T$ (the so called survival probability) when Z is the composition of two independent processes…
We study the asymptotic behavior of empirical processes generated by measurable bounded functions of an infinite source Poisson transmission process when the session length have infinite variance. In spite of the boundedness of the…
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…
For $\{X(t), t \in G_\delta\}$ a centered Gaussian process with stationary increments and a.s. sample paths on a discrete grid $G_\delta=\{0,\delta,2\delta, ...\}$, where $\delta>0$, we investigate the stationary reflected process…
Let $X_H(t), t\ge 0$ be a fractional Brownian motion with Hurst index $H\in(0,1}$ and define a gamma-reflected process $W_\Ga(t)=X_H(t)-ct-\gammainf_{s\in[0,t]}\left(X_H(s)-cs \right)$, $t\ge0$ with $c>0,\gamma \in [0,1]$ two given…
A single joinpoint changepoint model partitions a time series into two segments, joined at the changepoint time by constraining the estimated piecewise linear regression responses to be continuous. This manuscript derives the exact…
We study the distributional and asymptotic properties of the supremum of Brownian motion with drift and exponential resetting. We obtain an explicit renewal-type formula for the distribution of the supremum and then derive an approximation…
We investigate the asymptotic behavior of sample functions of stable processes when $t{\to}\infty$. We compare our results with the iterated logarithm law, results for the first hitting time and most visited sites problems.
In this paper, we study the asymptotic distribution of the maxima of suprema of dependent Gaussian processes with trend. For different scales of the time horizon we obtain different normalizing functions for the convergence of the maxima.…
We derive, up to a constant factor, matching lower and upper bounds on the concentration functions of suprema of separable centered Gaussian processes and order statistics of Gaussian random fields. These bounds reveal that suprema of…
We study the asymptotic behavior of the supremum $M_t$ of the support of a supercritical super-Brownian motion. In our recent paper (Stoch. Proc. Appl. 137 (2021), 1-34), we showed that, under some conditions, $M_t-m(t)$ converges in…