RUS  ENG JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PERSONAL OFFICE
Forthcoming seminars
Seminar calendar
List of seminars
Archive by years
Register a seminar

Search
RSS
Forthcoming seminars





You may need the following programs to see the files








Principle Seminar of the Department of Probability Theory, Moscow State University
April 13, 2016 16:45, Moscow, MSU, auditorium 12-24
 


High extrema of Gaussian chaos processes

V. I. Piterbarg

Lomonosov Moscow State University, Faculty of Mechanics and Mathematics

Number of views:
This page:77

Abstract: Let $\xi(t)$ be a Gaussian stationary vector process. Let $g : R^d \rightarrow R$ be a homogeneous function of positive index. We study probabilities of large extrema of the Gaussian chaos process $g(\xi(t))$. Important examples include products of Gaussian processes and quadratic forms of them. We review existing results partially obtained in collaboration with E. Hashorva, D. Korshunov, and A. Zhdanov. We also present the principal methods of our investigations which are the Laplace asymptotic method and other asymptotic methods for probabilities of high excursions of Gaussian vector process' trajectories.

SHARE: VKontakte.ru FaceBook Twitter Mail.ru Livejournal Memori.ru
 
Contact us:
 Terms of Use  Registration  Logotypes © Steklov Mathematical Institute RAS, 2017