Отправить статью по E-mail High Excursions of Bessel Process and Other Processes of Bessel Type
- Авторы: Piterbarg V.I.1,2, Rodionov I.V.3,4
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Учреждения:
- Faculty of Mechanics and Mathematics, Lomonosov Moscow State University
- Scientific Research Institute for System Analysis, Russian Academy of Sciences
- Trapeznikov Institute of Control Sciences, Russian Academy of Sciences
- Moscow Institute of Physics and Technology (State University)
- Выпуск: Том 100, № 1 (2019)
- Страницы: 346-348
- Раздел: Mathematics
- URL: https://journals.rcsi.science/1064-5624/article/view/225692
- DOI: https://doi.org/10.1134/S1064562419040094
- ID: 225692
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Аннотация
А high excursion probability for the modulus of a Gaussian vector process with independent identically distributed components is evaluated. It is assumed that the components have means zero and variances reaching its absolute maximum at a single point of the considered time interval. An important example of such processes is the Bessel process.
Об авторах
V. Piterbarg
Faculty of Mechanics and Mathematics, Lomonosov Moscow State University; Scientific Research Institute for System Analysis,Russian Academy of Sciences
Автор, ответственный за переписку.
Email: piter@mech.math.msu.su
Россия, Moscow, 119991; Moscow, 117218
I. Rodionov
Trapeznikov Institute of Control Sciences, Russian Academy of Sciences; Moscow Institute of Physics and Technology (State University)
Автор, ответственный за переписку.
Email: vecsell@gmail.com
Россия, Moscow, 117997; Dolgoprudnyi, Moscow oblast, 141701
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