S. G. Kobelkov, V. I. Piterbarg, I. V. Rodionov, E. Hashorva, “On the maximum of a Gaussian process with unique maximum point of its variance”, Fundam. Prikl. Mat., 2020, Volume 23, Issue 1,Pages <nobr>161

This article is cited in 2 papers

On the maximum of a Gaussian process with unique maximum point of its variance

S. G. Kobelkov^a, V. I. Piterbarg^bca, I. V. Rodionov^d, E. Hashorva^e

^a Lomonosov Moscow State University, Moscow, Russia
^b National Research University Higher School of Economics, Moscow, Russia
^c Scientific Research Institute of System Development “NIISI RAS,” Moscow, Russia
^d Trapeznikov Institute of Control Sciences of RAS, Moscow, Russia
^e University of Lausanne, 1015 Lausanne, Suisse

Abstract: Gaussian random processes whose variances reach their maximum values at unique points are considered. Exact asymptotic behavior of probabilities of large absolute maximums of their trajectories have been evaluated using the double sum method under the widest possible conditions.

UDC: 519.218