Article ID Journal Published Year Pages File Type
1155560 Stochastic Processes and their Applications 2015 17 Pages PDF
Abstract
The convergence of properly time-scaled and normalized maxima of independent standard Brownian motions to the Brown-Resnick process is well-known in the literature. In this paper, we study the extremal functional behavior of non-Gaussian processes, namely squared Bessel processes and scalar products of Brownian motions. It is shown that maxima of independent samples of those processes converge weakly on the space of continuous functions to the Brown-Resnick process.
Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
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