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research article
Extremal behavior of squared Bessel processes attracted by the Brown-Resnick process
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.
Type
research article
Web of Science ID
WOS:000349501200016
Authors
Publication date
2015
Publisher
Published in
Volume
125
Issue
2
Start page
780
End page
796
Peer reviewed
REVIEWED
Written at
EPFL
EPFL units
Available on Infoscience
May 29, 2015
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