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research article

Extremal behavior of squared Bessel processes attracted by the Brown-Resnick process

Das, Bikramjit
•
Engelke, Sebastian  
•
Hashorva, En. Kelejd
2015
Stochastic Processes And Their Applications

The convergence of properly time-scaled and normalized maxima of independent standard Brownian motions to the Brown-Resnick process is well-known in the literature. In this paper, we study the extremal functional behavior of non-Gaussian processes, namely squared Bessel processes and scalar products of Brownian motions. It is shown that maxima of independent samples of those processes converge weakly on the space of continuous functions to the Brown-Resnick process. (C) 2014 Elsevier B.V. All rights reserved.

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Type
research article
DOI
10.1016/j.spa.2014.09.006
Web of Science ID

WOS:000349501200016

Author(s)
Das, Bikramjit
Engelke, Sebastian  
Hashorva, En. Kelejd
Date Issued

2015

Publisher

Elsevier Science Bv

Published in
Stochastic Processes And Their Applications
Volume

125

Issue

2

Start page

780

End page

796

Subjects

Bessel process

•

Brown-Resnick process

•

Extreme value theory

•

Functional convergence

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
STAT  
Available on Infoscience
May 29, 2015
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/114667
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