Numerical bounds for the distributions of the maxima of some one- and two-parameter Gaussian processes
Cécile Mercadier
Source: Adv. in Appl. Probab. Volume 38, Number 1 (2006), 149-170.
Abstract
We consider the class of real-valued stochastic processes indexed on a compact subset of R or R2 with almost surely absolutely continuous sample paths. We obtain an implicit formula for the distributions of their maxima. The main result is the derivation of numerical bounds that turn out to be very accurate, in the Gaussian case, for levels that are not large. We also present the first explicit upper bound for the distribution tail of the maximum in the two-dimensional Gaussian framework. Numerical comparisons are performed with known tools such as the Rice upper bound and expansions based on the Euler characteristic. We deal numerically with the determination of the persistence exponent.
Keywords: Stochastic process; random field; distribution of the maximum; absolutely continuous sample path; first passage time; WAFO toolbox
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Permanent link to this document: http://projecteuclid.org/euclid.aap/1143936145
Digital Object Identifier: doi:10.1239/aap/1143936145
Zentralblatt MATH identifier:
1099.60026
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