This talk has been automatically captioned. You can remove these by pressing CC on the video toolbar.

Name: Krzysztof Dębicki

Talk Title: Extremes of vector-valued Gaussian processes

Abstract: We develop the uniform double-sum method for the vector-valued setting obtaining the exact asymptotics of the exceedance probabilities for both stationary and non-stationary vector-valued Gaussian processes.

We apply our findings to two classes of processes, namely the operator fractional Brownian motion and the operator fractional Ornstein-Uhlenbeck process.

The talk is based on joint work with Enkelejd Hashorva (University of Lausanne, Switzerland) and Longmin Wang (Nankai University, China). 

This talk is an invited talk at EVA 2021.