Email this article Large extremes of Gaussian chaos processes
- Authors: Piterbarg V.I.1
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Affiliations:
- Faculty of Mechanics and Mathematics
- Issue: Vol 93, No 2 (2016)
- Pages: 145-147
- Section: Mathematics
- URL: https://journals.rcsi.science/1064-5624/article/view/223457
- DOI: https://doi.org/10.1134/S1064562416020058
- ID: 223457
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Abstract
We study probabilities of large extremes of Gaussian chaos processes, that is, homogeneous functions of Gaussian vector processes. Important examples are products of Gaussian processes and quadratic forms of them. Exact asymptotic behaviors of the probabilities are found. To this aim, we use joint results of E. Hashorva, D. Korshunov and the author on Gaussian chaos, as well as a substantially modified asymptotical Double Sum Method.
About the authors
V. I. Piterbarg
Faculty of Mechanics and Mathematics
Author for correspondence.
Email: piter@mech.math.msu.su
Russian Federation, Moscow, 119991
