Method of moments for exit probabilities of Gaussian vector processes from a large region
Teoriâ veroâtnostej i ee primeneniâ, Tome 63 (2018) no. 4, pp. 669-682
Voir la notice de l'article provenant de la source Math-Net.Ru
Asymptotic behavior of the exit probability from
homothetically unboundedly expanding region is evaluated for twice
continuously differentiable stationary Gaussian vector
processes. The evaluation is based on the Rice's method, that is, on
studying point processes of exit times from the region, with
subsequent application of the Laplace asymptotic method.
Keywords:
Gaussian vector process, large excursions of trajectories, asymptotic behavior, Rice's method, Laplace method, point process.
@article{TVP_2018_63_4_a2,
author = {A. O. Kleban and V. I. Piterbarg},
title = {Method of moments for exit probabilities of {Gaussian} vector processes from a large region},
journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
pages = {669--682},
publisher = {mathdoc},
volume = {63},
number = {4},
year = {2018},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/TVP_2018_63_4_a2/}
}
TY - JOUR AU - A. O. Kleban AU - V. I. Piterbarg TI - Method of moments for exit probabilities of Gaussian vector processes from a large region JO - Teoriâ veroâtnostej i ee primeneniâ PY - 2018 SP - 669 EP - 682 VL - 63 IS - 4 PB - mathdoc UR - http://geodesic.mathdoc.fr/item/TVP_2018_63_4_a2/ LA - ru ID - TVP_2018_63_4_a2 ER -
%0 Journal Article %A A. O. Kleban %A V. I. Piterbarg %T Method of moments for exit probabilities of Gaussian vector processes from a large region %J Teoriâ veroâtnostej i ee primeneniâ %D 2018 %P 669-682 %V 63 %N 4 %I mathdoc %U http://geodesic.mathdoc.fr/item/TVP_2018_63_4_a2/ %G ru %F TVP_2018_63_4_a2
A. O. Kleban; V. I. Piterbarg. Method of moments for exit probabilities of Gaussian vector processes from a large region. Teoriâ veroâtnostej i ee primeneniâ, Tome 63 (2018) no. 4, pp. 669-682. http://geodesic.mathdoc.fr/item/TVP_2018_63_4_a2/