On the asymptotics of supremum distribution for some iterated processes

被引：5

作者：

Arendarczyk, Marek ^{[1
]}

机构：

[1] Univ Wroclaw, Math Inst, Pl Grunwaldzki 2-4, PL-50384 Wroclaw, Poland

来源：

EXTREMES | 2017年 / 20卷 / 02期

关键词：

Exact asymptotics; Supremum distribution; Iterated process; Iterated fractional brownian motion; Gaussian process; GAUSSIAN PROCESS; TAIL ASYMPTOTICS; BROWNIAN-MOTION; LOGARITHM; TIME; LAWS;

D O I：

10.1007/s10687-016-0272-2

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

In this paper, we study the asymptotic behavior of supremum distribution of some classes of iterated stochastic processes , where is a centered Gaussian process and is an independent of {X(t)} stochastic process with a.s. continuous sample paths. In particular, the asymptotic behavior of as , where T > 0, as well as , for some suitably chosen function h(u) are analyzed. As an illustration, we study the asymptotic behavior of the supremum distribution of iterated fractional Brownian motion process.

引用

页码：451 / 474

页数：24

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