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Principle Seminar of the Department of Probability Theory, Moscow State University
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High excursion probabilities for product of two Gaussian stationary processes V. I. Piterbarg, A. I. Zhdanov Lomonosov Moscow State University, Faculty of Mechanics and Mathematics |
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Abstract: The product of Gaussian stationary processes with power behavior at zero of theirs covariance functions is considered. For the product, an asymptotic behavior of the excursion probability of its trajectories beyond a high level has been derived. The method of the derivation is Double Sum Method adapted to the situation. |