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Extremes of alpha(t)-locally Stationary Gaussian Random Fields

Research paper by Enkelejd Hashorva, Lanpeng Ji

Indexed on: 01 Sep '13Published on: 01 Sep '13Published in: Mathematics - Probability



Abstract

This contribution derives the exact asymptotic behaviour of the supremum of alpha(t)-locally stationary Gaussian random fields over a finite hypercube. We present two applications of our result; the first one deals with extremes of ggregate multifractional Brownian motions, whereas the second application establishes the exact asymptotics of the supremum of chi-processes generated by multifractional Brownian motions.