Extremes of stochastic processes: Krzysztof Dębicki
From Belle Taylor on June 29th, 2021
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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.