Extremes of Gaussian processes over an infinite horizon

Stochastic Processes and their Applications

Volumn 115, Issue 2, 2005, Pages 207-248

  Dieker, A B ^a,b  

^a CWI   (Netherlands)

^b UNIVERSITY OF TWENTE   (Netherlands)

Author keywords

Extreme values; Gaussian processes; Regular variation; Ruin probability

Indexed keywords

BROWNIAN MOVEMENT; CONVERGENCE OF NUMERICAL METHODS; DIFFERENTIAL EQUATIONS; MATHEMATICAL MODELS; PROBABILITY; THEOREM PROVING;

EXTREME VALUES; GAUSSIAN PROCESSES; RUIN PROBABILITY;

RANDOM PROCESSES;

EID: 11844295370     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2004.09.005     Document Type: Article

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