For a class of Gaussian stationary processes, we prove a limit theorem on the convergence of the distributions of the scaled last exit time over a slowly growing linear boundary. The limit is a double exponential (Gumbel) distribution.
Original languageEnglish
Pages (from-to)337-347
Number of pages11
JournalTheory of Probability and its Applications
Volume66
Issue number3
DOIs
StatePublished - 1 Jan 2022

    Research areas

  • double exponential law, Gaussian process, last exit time, limit theorem

ID: 101743209