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Stochastics: An International Journal of Probability and Stochastic Processes
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Stochastics: An International Journal of Probability and Stochastic Processes, 2017, том 89, выпуск 1, страницы 21–37
DOI: https://doi.org/10.1080/17442508.2015.1126282
(Mi stpr1)
 

Эта публикация цитируется в 26 научных статьях (всего в 26 статьях)

Bounds for expected maxima of Gaussian processes and their discrete approximations

Konstantin Borovkova, Yuliya Mishurab, Alexander Novikovcd, Mikhail Zhitlukhind

a School of Mathematics and Statistics, The University of Melbourne, Parkville, Australia
b Mechanics and Mathematics Faculty, Taras Shevchenko National University of Kyiv, Kyiv, Ukraine
c School of Mathematical and Physical Sciences, University of Technology Sydney, Sydney, Australia
d Steklov Institute of Mathematics, Moscow, Russia
Финансовая поддержка Номер гранта
Australian Research Council DP150102758
Российский научный фонд 14-21-00162
The work of K. Borovkov (on Sections 1 and 2) was supported by the ARC [grant number DP150102758]; A. Novikov and M. Zhitlukhin (on Sections 3 and 4) was supported by the Russian Science Foundation [grant number 14-21-00162].
Поступила в редакцию: 02.08.2015
Принята в печать: 26.11.2015
Реферативные базы данных:
Тип публикации: Статья
Язык публикации: английский
Образцы ссылок на эту страницу:
  • https://www.mathnet.ru/rus/stpr1
  • Эта публикация цитируется в следующих 26 статьяx:
    1. Kei Kobayashi, Hyunchul Park, “Heat content for Gaussian processes: Small-time asymptotic analysis”, Bernoulli, 31:2 (2025)  crossref
    2. David Baños, Martin Bauer, Thilo Meyer-Brandis, Frank Proske, “Restoration of Well-Posedness of Infinite-Dimensional Singular ODE's via Noise”, Potential Anal, 60:2 (2024), 759  crossref
    3. Ulises Pérez-Cendejas, Gerardo Pérez-Suárez, “Stochastic ordering for hitting times of fractional Brownian motions”, Statistics & Probability Letters, 208 (2024), 110053  crossref
    4. José Alfredo López-Mimbela, Gerardo Pérez-Suárez, “Estimates for exponential functionals of continuous Gaussian processes with emphasis on fractional Brownian motion”, ALEA, 21:1 (2024), 661  crossref
    5. Krzysztof Bisewski, Grigori Jasnovidov, “On the speed of convergence of discrete Pickands constants to continuous ones”, J. Appl. Probab., 2024, 1  crossref
    6. José Alfredo López-Mimbela, Gerardo Pérez-Suárez, “Blowup probability of positive solutions of a semilinear SPDE driven by a rough Gaussian noise”, Journal of Mathematical Analysis and Applications, 2024, 129175  crossref
    7. Tomonori Nakatsu, “On density functions related to discrete time maximum of some one-dimensional diffusion processes”, Applied Mathematics and Computation, 441 (2023), 127672  crossref
    8. Krzysztof Bisewski, “Lower bound for the expected supremum of fractional brownian motion using coupling”, J. Appl. Probab., 60:4 (2023), 1232  crossref
    9. Anatoliy Malyarenko, Yuliya Mishura, Kostiantyn Ralchenko, Sergiy Shklyar, “Entropy and alternative entropy functionals of fractional Gaussian noise as the functions of Hurst index”, Fract Calc Appl Anal, 26:3 (2023), 1052  crossref
    10. Krzysztof Bisewski, Grigori Jasnovidov, “On the speed of convergence of Piterbarg constants”, Queueing Syst, 105:1-2 (2023), 129  crossref
    11. Yuliya Mishura, Kostiantyn Ralchenko, Sergiy Shklyar, “Gaussian Volterra processes: Asymptotic growth and statistical estimation”, Theor. Probability and Math. Statist., 108 (2023), 149  crossref
    12. Krzysztof Bisewski, Krzysztof Dȩbicki, Tomasz Rolski, “Derivatives of sup-functionals of fractional Brownian motion evaluated at H= 12”, Electron. J. Probab., 27:none (2022)  crossref
    13. Nour Al Hayek, Illia Donhauzer, Rita Giuliano, Andriy Olenko, Andrei Volodin, “Asymptotics of Running Maxima for φ-Subgaussian Random Double Arrays”, Methodol Comput Appl Probab, 24:3 (2022), 1341  crossref
    14. Krzysztof Bisewski, Krzysztof Dȩbicki, Tomasz Rolski, “Derivative of the expected supremum of fractional Brownian motion at $H=1$”, Queueing Syst, 102:1-2 (2022), 53  crossref
    15. Krzysztof Bisewski, Krzysztof Dȩbicki, Michel Mandjes, “Bounds for expected supremum of fractional Brownian motion with drift”, J. Appl. Probab., 58:2 (2021), 411  crossref
    16. Hossein Jafari, Yiqiang Q. Zhao, “Bounds for the expected supremum of some non-stationary Gaussian processes”, Stochastics, 2021, 1  crossref
    17. I. A. Kozik, V. I. Piterbarg, “High Excursions of Gaussian Nonstationary Processes in Discrete Time”, J Math Sci, 253:6 (2021), 867  crossref
    18. Giacomo Ascione, Yuliya Mishura, Enrica Pirozzi, “Fractional Ornstein-Uhlenbeck Process with Stochastic Forcing, and its Applications”, Methodol Comput Appl Probab, 23:1 (2021), 53  crossref
    19. B. L. S. Prakasa Rao, “More on maximal inequalities for sub-fractional Brownian motion”, Stochastic Analysis and Applications, 38:2 (2020), 238  crossref
    20. Alexander I. Bufetov, Andrey V. Dymov, “A functional limit theorem for the sine-process”, Int. Math. Res. Not. IMRN, 2019:1 (2019), 249–319  mathnet  crossref  isi  scopus
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