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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2018 Volume 63, Issue 2, Pages 240–259 (Mi tvp5120)

This article is cited in 1 paper

Massive excursions of Gaussian isotropic fields. Method of moments

V. I. Piterbargabc

a Lomonosov Moscow State University
b National Research University "Moscow Power Engineering Institute"
c Scientific Research Institute for System Analysis of the Russian Academy of Sciences, Moscow

Abstract: The asymptotic behavior of probability of large massive excursions above a high level is evaluated for Gaussian isotropic twice differentiable Gaussian fields. A massive excursion is the excursion with base diameter exceeding a fixed positive number. For proofs, we introduce and study a vector Gaussian process with components that are independent copies of the initial field, and consider the point process of exits of trajectories of this process from an appropriate infinitely expanding set. By studying the asymptotic behavior of the first and second moments of distribution of this point process, the desired asymptotic behavior is obtained. Moreover, general results on the logarithmic (rough) asymptotic behavior of the large massive excursion probabilities are put forward.

Keywords: Gaussian field, massive excursions, Rice moment method, point process, critical points of excursions.

Received: 23.01.2017
Revised: 12.10.2017

DOI: 10.4213/tvp5120


 English version:
Theory of Probability and its Applications, 2018, 63:2, 193–208

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