Browsing ORIE Technical Reports by Subject "high excursion"
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(2016)We investigate what happens when an entire sample path of a smooth Gaussian process on a compact interval lies above a high level. Specifically, we determine the precise asymptotic probability of such an event, the ...
(2019-02-27)In this short note we study the asymptotic behaviour of the minima over compact intervals of Gaussian processes, whose paths are not necessarily smooth. We show that, beyond the logarithmic large deviation Gaussian ...