Extreme values of a portfolio of Gaussian processes and a trend

Extremes

Volumn 8, Issue 3, 2005, Pages 171-189

  Hüsler, Jürg ^a   Schmid, Christoph M ^a  

^a UNIVERSITY OF BERN   (Switzerland)

Author keywords

Extreme values; Gaussian processes; Large deviations; Portfolio of assets; Ruin probability; Tail behavior

Indexed keywords

EID: 33748368929     PISSN: 13861999     EISSN: 1572915X     Source Type: Journal    
DOI: 10.1007/s10687-006-7966-9     Document Type: Article

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7. Piterbarg, V.: Asymptotic methods in the theory of Gaussian processes and fields. American Mathematical Society (1996)