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On extremes and streams of upcrossings

We study relations between P{supt[set membership, variant][0,h] [xi](t)>u} and for a stationary process [xi](t). Applications include Markov jump processes, [alpha]-stable processes, and quadratic functionals of Gaussian processes.
Year of publication:
2001
Authors: Albin, J. M. P.
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 94.2001, 2, p. 271-300
Publisher: Elsevier
Keywords: Extrema Upcrossing Jump process Stable process Gaussian process
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008875637
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