Email this article High excursions of Bessel process and other processes of Bessel type
- Authors: Piterbarg V.I.1,2, Rodionov I.V.3,4
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Affiliations:
- Lomonosov Moscow State University
- Federal State Institution «Scientific Research Institute for System Analysis of the Russian Academy of Sciences»
- Institute of Control Sciences of the Russian Academy of Sciences
- Moscow Institute of Physics and Technology
- Issue: Vol 487, No 3 (2019)
- Pages: 238-241
- Section: Mathematics
- URL: https://journals.eco-vector.com/0869-5652/article/view/15690
- DOI: https://doi.org/10.31857/S0869-56524873238-241
- ID: 15690
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Abstract
A high excursion probability for the modulus of a Gaussian vector process with independent identically distributed components is evaluated. It is assumed that the components have means zero and variances reaching its absolute maximum at a single point of the considered time interval. An important example of such processes is the Bessel process.
About the authors
V. I. Piterbarg
Lomonosov Moscow State University; Federal State Institution «Scientific Research Institute for System Analysis of the Russian Academy of Sciences»
Author for correspondence.
Email: piter@mech.math.msu.su
Russian Federation, 1, Leninskie gory, Moscow, 119991; 36-1, Nakhimovsky prospect, Moscow, 117218
I. V. Rodionov
Institute of Control Sciences of the Russian Academy of Sciences; Moscow Institute of Physics and Technology
Email: vecsell@gmail.com
Russian Federation, 65, Profsoyuznaya Street, Moscow, 117997; 9, Institutskij, Dolgoprudny, Moscow region, 141701
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