IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v121y2011i11p2592-2605.html
   My bibliography  Save this article

Extremes of Gaussian processes with a smooth random variance

Author

Listed:
  • Hösler, Jörg
  • Piterbarg, Vladimir
  • Rumyantseva, Ekaterina

Abstract

Let ξ(t) be a standard stationary Gaussian process with covariance function r(t), and η(t), another smooth random process. We consider the probabilities of exceedances of ξ(t)η(t) above a high level u occurring in an interval [0,T] with T>0. We present asymptotically exact results for the probability of such events under certain smoothness conditions of this process ξ(t)η(t), which is called the random variance process. We derive also a large deviation result for a general class of conditional Gaussian processes X(t) given a random element Y.

Suggested Citation

  • Hösler, Jörg & Piterbarg, Vladimir & Rumyantseva, Ekaterina, 2011. "Extremes of Gaussian processes with a smooth random variance," Stochastic Processes and their Applications, Elsevier, vol. 121(11), pages 2592-2605, November.
  • Handle: RePEc:eee:spapps:v:121:y:2011:i:11:p:2592-2605
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304414911001426
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Nielsen, Lars Tyge, 1999. "Pricing and Hedging of Derivative Securities," OUP Catalogue, Oxford University Press, number 9780198776192.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ji, Lanpeng & Peng, Xiaofan, 2023. "Extreme value theory for a sequence of suprema of a class of Gaussian processes with trend," Stochastic Processes and their Applications, Elsevier, vol. 158(C), pages 418-452.
    2. Goran Popivoda & Siniša Stamatović, 2024. "Sojourn Times of Gaussian Processes with Random Parameters," Journal of Theoretical Probability, Springer, vol. 37(3), pages 2023-2053, September.
    3. Popivoda, Goran & Stamatović, Siniša, 2016. "Extremes of Gaussian fields with a smooth random variance," Statistics & Probability Letters, Elsevier, vol. 110(C), pages 185-190.
    4. Tan, Zhongquan, 2013. "An almost sure limit theorem for the maxima of smooth stationary Gaussian processes," Statistics & Probability Letters, Elsevier, vol. 83(9), pages 2135-2141.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Anderson, Robert M. & Raimondo, Roberto C., 2007. "Equilibrium in Continuous-Time Financial Markets: Endogenously Dynamically Complete Markets," Department of Economics, Working Paper Series qt0zq6v5gd, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    2. Henrard, Marc, 2006. "TIPS Options in the Jarrow-Yildirim model," MPRA Paper 1423, University Library of Munich, Germany.
    3. Robert M. Anderson & Roberto C. Raimondo, 2003. "Market Clearing and Derivative Pricing," Discussion Papers 03-17, University of Copenhagen. Department of Economics.
    4. Francisco Venegas Martínez & Abigail Rodríguez Nava, 2009. "Consumo y decisiones de portafolio en ambientes estocásticos: un marco teórico unificador," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(2), pages 29-64, November.
    5. Ricardo T. Fernholz & Christoffer Koch, 2016. "Why are big banks getting bigger?," Working Papers 1604, Federal Reserve Bank of Dallas.
    6. Ömür Ugur, 2008. "An Introduction to Computational Finance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number p556, February.
    7. Lars Nielsen, 2007. "Dividends in the theory of derivative securities pricing," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 31(3), pages 447-471, June.
    8. Bernd Heidergott & Warren Volk-Makarewicz, 2013. "A Measure-Valued Differentiation Approach to Sensitivity Analysis of Quantiles," Tinbergen Institute Discussion Papers 13-082/III, Tinbergen Institute.
    9. Timo Willershausen & Sascha H. Mölls & Karl-Heinz Schild, 2007. "Unsicherheit und der Wert realer Optionen," Schmalenbach Journal of Business Research, Springer, vol. 59(3), pages 314-332, May.
    10. Ricardo T. Fernholz & Christoffer Koch, 2016. "The rank effect for commodities," Working Papers 1607, Federal Reserve Bank of Dallas.
    11. Theodoros M. Diasakos, 2011. "A Simple Characterization of Dynamic Completeness in Continuous Time," Carlo Alberto Notebooks 211, Collegio Carlo Alberto.
    12. Berg, Tobias & Mölls, Sascha H. & Willershausen, Timo, 2009. "(Real-)options, uncertainty and comparative statics: Are Black and Scholes mistaken?," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 645, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.
    13. Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
    14. José Carlos Ramirez Sánchez, 2004. "Usos y limitaciones de los procesos estocásticos en el tratamiento de distribuciones de rendimientos con colas gordas," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 19(1), pages 51-76, June.
    15. Marc Henrard, 2005. "Inflation bond option pricing in Jarrow-Yildirim model," Finance 0510027, University Library of Munich, Germany.
    16. Ricardo T. Fernholz & Caleb Stroup, 2018. "Asset Price Distributions and Efficient Markets," Papers 1810.12840, arXiv.org.
    17. Lars Tyge Nielsen, 2018. "Characterization of the Ito Integral," Papers 1812.09637, arXiv.org.
    18. Will Hicks, 2018. "PT Symmetry, Non-Gaussian Path Integrals, and the Quantum Black-Scholes Equation," Papers 1812.00839, arXiv.org, revised Jan 2019.
    19. Dorje C. Brody & Lane P. Hughston, 2011. "Interest Rates and Information Geometry," Papers 1111.3757, arXiv.org.
    20. Ricardo T. Fernholz, 2016. "Empirical Methods for Dynamic Power Law Distributions in the Social Sciences," Papers 1602.00159, arXiv.org, revised Jun 2016.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:121:y:2011:i:11:p:2592-2605. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.