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

Details

Ressource 1Download: BIB_AFBD367D530C.P001.pdf (205.44 [Ko])
State: Public
Version: author
License: Not specified
Serval ID
serval:BIB_AFBD367D530C
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Extremal behavior of squared Bessel processes attracted by the Brown-Resnick process
Journal
Stochastic Processes and their Applications
Author(s)
Das  B., Engelke  S., Hashorva  E.
ISSN
0304-4149 (Print)
Publication state
Published
Issued date
02/2015
Peer-reviewed
Oui
Volume
125
Number
2
Pages
780-796
Language
english
Abstract
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.
Keywords
Bessel process, Brown-Resnick process, Extreme value theory, Functional convergence
Web of science
Create date
06/09/2014 18:57
Last modification date
20/08/2019 16:19
Usage data