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High excursion probabilities for product of two Gaussian stationary processes

V. I. Piterbarg, A. I. Zhdanov

Lomonosov Moscow State University, Faculty of Mechanics and Mathematics

Abstract: The product of Gaussian stationary processes with power behavior at zero of theirs covariance functions is considered. For the product, an asymptotic behavior of the excursion probability of its trajectories beyond a high level has been derived. The method of the derivation is Double Sum Method adapted to the situation.


© Steklov Math. Inst. of RAS, 2024