Open AccessHigh excursions of Bessel process and other processes of Bessel type
Author(s) -
V. I. Piterbarg,
I. V. Rodionov
Publication year - 2019
Publication title -
doklady akademii nauk. rossijskaâ akademiâ nauk
Language(s) - English
Resource type - Journals
ISSN - 0869-5652
DOI - 10.31857/s0869-56524873238-241
Subject(s) - bessel function , bessel process , excursion , independent and identically distributed random variables , mathematics , point process , zero (linguistics) , process (computing) , interval (graph theory) , gaussian process , type (biology) , mathematical analysis , gaussian , physics , statistics , combinatorics , computer science , random variable , geology , quantum mechanics , paleontology , philosophy , law , linguistics , gegenbauer polynomials , operating system , classical orthogonal polynomials , political science , orthogonal polynomials
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.