Extreme values of a gaussian process

  • Park, Y.K. ;
  • K.S.Hwang ;
  • S.B.Kang
  • Published : 1995.11.01

Abstract

Let ${X(t) : 0 \leq t < \infty}$ be an almost surely continuous Gaussian process with X(0) = 0, E{X(t)} = 0 and stationary increments $E{X(t) - X(s)}^2 = \sigma^2($\mid$t - s$\mid$)$, where $\sigma(y)$ is a function of $y \geq 0(e.g., if {X(t);0 \leq t < \infty}$ is a standard Wiener process, then $\sigma(t) = \sqrt{t})$. Assume that $\sigma(t), t > 0$, is a nondecreasing continuous, regularly varying function at infinity with exponent $\gamma$ for some $0 < \gamma < 1$.

Keywords

Wiener process;Gaussian process;regularly varying function and Borel-Cantelli lemma