Abstract
Exact asymptotic behavior is given for high excursion probabilities of Gaussian processes in discrete time as the corresponding lattice pitch unboundedly decreases. The proximity of the asymptotic behavior to that in continuous time is discussed. Examples are given related to fractional Brownian motion and the corresponding ruin problem.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
