Extremal behavior of squared Bessel processes attracted by the Brown-Resnick process

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Etat: Public
Version: de l'auteur⸱e
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ID Serval
serval:BIB_AFBD367D530C
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Extremal behavior of squared Bessel processes attracted by the Brown-Resnick process
Périodique
Stochastic Processes and their Applications
Auteur⸱e⸱s
Das  B., Engelke  S., Hashorva  E.
ISSN
0304-4149 (Print)
Statut éditorial
Publié
Date de publication
02/2015
Peer-reviewed
Oui
Volume
125
Numéro
2
Pages
780-796
Langue
anglais
Résumé
The convergence of properly time-scaled and normalized maxima of independent standard Brownian motions to the Brown-Resnick process is well-known in the literature. In this paper, we study the extremal functional behavior of non-Gaussian processes, namely squared Bessel processes and scalar products of Brownian motions. It is shown that maxima of independent samples of those processes converge weakly on the space of continuous functions to the Brown-Resnick process.
Mots-clé
Bessel process, Brown-Resnick process, Extreme value theory, Functional convergence
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Création de la notice
06/09/2014 18:57
Dernière modification de la notice
20/08/2019 16:19
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