Email this article High Excursions of Bessel Process and Other Processes of Bessel Type
- Authors: Piterbarg V.I.1,2, Rodionov I.V.3,4
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Affiliations:
- Faculty of Mechanics and Mathematics, Lomonosov Moscow State University
- Scientific Research Institute for System Analysis, Russian Academy of Sciences
- Trapeznikov Institute of Control Sciences, Russian Academy of Sciences
- Moscow Institute of Physics and Technology (State University)
- Issue: Vol 100, No 1 (2019)
- Pages: 346-348
- Section: Mathematics
- URL: https://journal-vniispk.ru/1064-5624/article/view/225692
- DOI: https://doi.org/10.1134/S1064562419040094
- ID: 225692
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Abstract
А 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.
About the authors
V. I. Piterbarg
Faculty of Mechanics and Mathematics, Lomonosov Moscow State University; Scientific Research Institute for System Analysis,Russian Academy of Sciences
Author for correspondence.
Email: piter@mech.math.msu.su
Russian Federation, Moscow, 119991; Moscow, 117218
I. V. Rodionov
Trapeznikov Institute of Control Sciences, Russian Academy of Sciences; Moscow Institute of Physics and Technology (State University)
Author for correspondence.
Email: vecsell@gmail.com
Russian Federation, Moscow, 117997; Dolgoprudnyi, Moscow oblast, 141701
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