55892

Автор(ы): 

Автор(ов): 

2

Параметры публикации

Тип публикации: 

Статья в журнале/сборнике

Название: 

High excursions of Bessel and related random processes

ISBN/ISSN: 

0304-4149

DOI: 

10.1016/j.spa.2020.02.002

Наименование источника: 

  • Stochastic Processes and their Applications

Город: 

  • Amsterdam

Издательство: 

  • Elsevier

Год издания: 

2020

Страницы: 

1-14 https://www.sciencedirect.com/science/article/pii/S0304414919304181?via%3Dihub
Аннотация
Asymptotic behavior of large excursions probabilities are evaluated for Euclidean norm of a wide class of Gaussian non-stationary vector processes with independent identically distributed components. It is assumed that the components have means zero and variances reaching its absolute maximum at only one point of the considered time interval. The Bessel process is an important example of such processes.

Библиографическая ссылка: 

Питербарг В.И., Родионов И.В. High excursions of Bessel and related random processes // Stochastic Processes and their Applications. 2020. С. 1-14 https://www.sciencedirect.com/science/article/pii/S0304414919304181?via%3Dihub.