RUS  ENG
Full version
JOURNALS // Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika // Archive

Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 2024 Number 4, Pages 21–25 (Mi vmumm4615)

Mathematics

High level exceeding probability for a Gaussian process with constant variance and variable smoothness

Ph. E. Koluzanova, V. I. Piterbargab

a Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
b National Research University Higher School of Economics, Moscow

Abstract: Exact asymptotic behavior is evaluated for high level exceeding probability of Gaussian process with constant variance, the correlation function of which satisfies the Pickands' condition at each point, while the constants in the condition change, being continuous functions.

Key words: Gaussian process, large excursions, Pickands' condition, double sum method.

UDC: 519.21

Received: 14.06.2023

DOI: 10.55959/MSU0579-9368-1-65-4-3


 English version:
Moscow University Mathematics Bulletin, Moscow University Mеchanics Bulletin, 2024, 79:4, 169–174

Bibliographic databases:


© Steklov Math. Inst. of RAS, 2024