Discrete and continuous time extremes of Gaussian processes

Extremes

Volumn 7, Issue 2, 2004, Pages 161-177

  Piterbarg, Vladimir I ^a  

^a MOSCOW STATE UNIVERSITY   (Russian Federation)

Author keywords

Extremes; Gaussian process; Limit theorem for maximum; Pickands' constant

Indexed keywords

EID: 29144459822     PISSN: 13861999     EISSN: None     Source Type: Journal    
DOI: 10.1007/s10687-005-6198-8     Document Type: Article

References (9)

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4. Duffie, D. and Protter, P., "From discrete- to continuous-time finance: Weak convergence of the financial gain process," Math. Financ. 2, 1-15, (1992).
5. Leadbetter, M.R. and Rychlik, T., "Extremes and high level exceedances of stationary random fields for ocean structure reliability," in Stochastically Excited Nonlinear Ocean Structures (M.F. Shlesinger and T. Swean, eds), World Scientific, 156-186, 1998.
6. Leadbetter, M.R., Lindgren, G. and Rootzen, H., Extremes and Related Properties of Random Sequences and Processes, Springer-Verlag, Berlin-Heidelberg-New York, 1983.
7. Piterbarg,V.I., Asymptotic Methods in the Theory of Gaussian Processes and Fields, AMS, Providence, 1996.
8. Piterbarg, V.I. and Romanova, T.A., Numerical Estimation of the Pickands' Constant, Technical Report, University of Bern, 2002, 45, 1-12 University Bern, Institute of Mathematical statistics and Applications, also available at http://www.mathpreprints.com/math/Preprint/Piterbarg/20020610/2/Constnew2.pdf
9. Yue Fang, When Should Time be Continuous? Volatility modeling and estimation under continuous data recording. Econometric Society World.Congress 2000 Contributed Papers, Seattle, August, 2000, available at http://ideas.uqam.ca/ideas/data/Papers/ecmwc20000843.html