Tan, Zhongquan; Hashorva, Enkelejd - In: Stochastic Processes and their Applications 123 (2013) 8, pp. 2983-2998
Let {χk(t),t≥0} be a stationary χ-process with k degrees of freedom being independent of some non-negative random variable T. In this paper we derive the exact asymptotics of P{supt∈[0,T]χk(t)u} as u→∞ when T has a regularly varying tail with index λ∈[0,1). Three other novel...