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Name: Krzysztof Debicki

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.

This talk is an invited talk at EVA 2021. View the programme here.