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Principle Seminar of the Department of Probability Theory, Moscow State University
April 19, 2017 17:05, Moscow, MSU, auditorium 12-24
 


High extremes of Gaussian chaos processes. A discrete time approximation approach

V. I. Piterbarg, A. I. Zhdanov

Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
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Abstract: We consider a Gaussian zero-mean stationary vector process and a homogeneous function of a positive order of the given vector process. We study probabilities of high extrema of the resulting Gaussian chaos process. We present the principal methods of our investigations which are the Laplace asymptotic method and the Double Sum method when we first pass to the discrete time with refining time grid and then use appropriate approximation results.

Materials: zhdanov_piterbarg_lomchte17a.pdf (376.5 Kb)

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