Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1155560 | Stochastic Processes and their Applications | 2015 | 17 Pages |
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)
Authors
Bikramjit Das, Sebastian Engelke, Enkelejd Hashorva,