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arXiv · 1501.04422

Limit laws on extremes of non-homogeneous Gaussian random fields

Zhongquan Tan
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Abstract

In this paper, by using the exact tail asymptotics derived by Debicki, Hashorva and Ji (Ann. Probab. 2014), we proved the Gumbel limit theorem for the maximum of a class of non-homogeneous Gaussian random fields. By using the obtained results, we also derived the Gumbel laws for Shepp statistics of fractional Brownian motion and Gaussian integrated process as well as the Gumbel law for Storage process with fractional Brownian motion as input.

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Zhongquan Tan. 2015-01-19. Limit laws on extremes of non-homogeneous Gaussian random fields. https://arxiv.org/abs/1501.04422

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