On the asymptotics of supremum distribution for some iterated processes-Reference-Cited by-同舟云学术

On the asymptotics of supremum distribution for some iterated processes

Published:2016-10-13 Issue:2 Volume:20 Page:451-474
ISSN:1386-1999
Container-title:Extremes
language:en
Short-container-title:Extremes

Author:

Arendarczyk Marek

Publisher

Springer Science and Business Media LLC

Subject

Economics, Econometrics and Finance (miscellaneous),Engineering (miscellaneous),Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/s10687-016-0272-2.pdf

Reference31 articles.

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2. Allouba, H., Zheng, W.: Brownian-time processes: the PDE connection and the half-derivative generator. Ann. Probab. 29(4), 1780–1795 (2001)

3. Arendarczyk, M., Dȩbicki, K.: Asymptotics of supremum distribution of a Gaussian process over a Weibullian time. Bernoulli 17(1), 194–210 (2011)

4. Arendarczyk, M., Dȩbicki, K.: Exact asymptotics of supremum of a stationary Gaussian process over a random interval. Statist. Probab. Lett. 82, 645–652 (2012)

5. Aurzada, F., Lifshits, M.: On the small deviation problem for some iterated processes. Elec. J. Prob. 14(68), 1992–2010 (2009)

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