Publication

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

Sebastian Engelke
2015
Journal Articles

Abstract

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.

Official source

https://infoscience.epfl.ch/entities/publication/08b3ba7a-1440-4ffb-b822-3e34ebab098b

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

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