Pickands-Piterbarg constants for self-similar Gaussian processes

Abstract

For a centered self-similar Gaussian process $\{Y(t):t\in[0,\infty)\}$ and $R\ge0$ we analyze asymptotic behaviour of \[ \mathcal{H}_Y^R(T) \; = \; \mathbf{E} \exp \left( \sup_{t \in [0,T]} \sqrt{2} Y(t) - (1+R) \sigma_Y^2(t) \right), \] as $T\to\infty$. We prove that $\mathcal{H}_Y^R=\lim_{T\to\infty} \mathcal{H}_Y^R(T)\in(0,\infty)$ for $R>0$ and \[\mathcal{H}_Y=\lim_{T\to\infty} \frac{\mathcal{H}_Y^0(T)}{T^\gamma}\in(0,\infty)\] for suitably chosen $\gamma>0$. Additionally, we find bounds for $\mathcal{H}_Y^R$, $R>0$ and a surprising relation between $\mathcal{H}_Y$ and classical Pickands constants.