serval:BIB_AFBD367D530C
Extremal behavior of squared Bessel processes attracted by the Brown-Resnick process
10.1016/j.spa.2014.09.006
000349501200016
B.
Das
author
S.
Engelke
author
E.
Hashorva
author
article
2015-02
Stochastic Processes and their Applications
0304-4149
journal
125
2
780-796
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.
Bessel process
Brown-Resnick process
Extreme value theory
Functional convergence
eng
60_published
peer-reviewed
University of Lausanne
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