Extremal behavior of squared Bessel processes attracted by the Brown-Resnick process

2Citations
Citations of this article
7Readers
Mendeley users who have this article in their library.

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.

Cite

CITATION STYLE

APA

Das, B., Engelke, S., & Hashorva, E. (2015). Extremal behavior of squared Bessel processes attracted by the Brown-Resnick process. Stochastic Processes and Their Applications, 125(2), 780–796. https://doi.org/10.1016/j.spa.2014.09.006

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free