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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2018 Volume 63, Issue 4, Pages 669–682 (Mi tvp5189)

This article is cited in 1 paper

Method of moments for exit probabilities of Gaussian vector processes from a large region

A. O. Klebana, 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: Asymptotic behavior of the exit probability from homothetically unboundedly expanding region is evaluated for twice continuously differentiable stationary Gaussian vector processes. The evaluation is based on the Rice's method, that is, on studying point processes of exit times from the region, with subsequent application of the Laplace asymptotic method.

Keywords: Gaussian vector process, large excursions of trajectories, asymptotic behavior, Rice's method, Laplace method, point process.

Received: 26.10.2017
Revised: 20.06.2018
Accepted: 21.06.2018

DOI: 10.4213/tvp5189


 English version:
Theory of Probability and its Applications, 2019, 63:4, 545–555

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