RUS  ENG
Full version
JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2021 Volume 66, Issue 3, Pages 419–432 (Mi tvp5463)

This article is cited in 1 paper

On the distribution of the last exit time over a slowly growing linear boundary for a Gaussian process

N. A. Karagodina, M. A. Lifshitsb

a Euler International Mathematical Institute, St. Petersburg
b Saint Petersburg State University

Abstract: For a class of Gaussian stationary processes, we prove a limit theorem on the convergence of the distributions of the scaled last exit time over a slowly growing linear boundary. The limit is a double exponential (Gumbel) distribution.

Keywords: last exit time, Gaussian process, limit theorem, double exponential law.

Received: 10.12.2020
Revised: 04.03.2021

DOI: 10.4213/tvp5463


 English version:
Theory of Probability and its Applications, 2021, 66:3, 337–347

Bibliographic databases:


© Steklov Math. Inst. of RAS, 2025