Sample path properties of reflected Gaussian processes

Details

Serval ID
serval:BIB_E274DCA898D3
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Sample path properties of reflected Gaussian processes
Journal
Latin American Journal of Probability and Mathematical Statistics
Author(s)
Kosiński K.M., Liu P.
ISSN
1980-0436
Publication state
Published
Issued date
2018
Peer-reviewed
Oui
Volume
15
Number
1
Pages
453
Language
english
Abstract
We consider a stationary queueing process QX fed by a centered Gaussian process X with stationary increments and variance function satisfying classical regularity conditions. A criterion when, for a given function f, P(QX(t) > f(t) i.o.) equals 0 or 1 is provided. Furthermore, an Erdös–Révész type law of the iterated logarithm is proven for the last passage time ξ(t) = sup{s : 0 ≤ s ≤ t, QX(s) ≥ f(s)}. Both of these findings extend previously known results that were only available for the case when X is a fractional Brownian motion.
Keywords
Statistics and Probability, Statistics and Probability
Open Access
Yes
Create date
28/04/2018 19:32
Last modification date
20/08/2019 17:06
Usage data