On the hitting probability of max-stable processes
Copyright policy )On the hitting probability of max-stable processes
The probability that a max-stable process η in C[0, 1] with identical marginal distribution function F hits x \in R with 0 < F (x) < 1 is the hitting probability of x. We show that the hitting probability is always positive, unless the components of η are completely dependent. Moreover, we consider the event that the paths of standard MSP hit some x \in R twice and we give a sufficient condition for a positive probability of this event.
8 pages
- University of Würzburg Germany
probability of hitting more than once, Stable stochastic processes, 60G70, hitting probability, total dependence process, Probability (math.PR), FOS: Mathematics, functional \(D\)-norm, max-stable process, Mathematics - Probability
probability of hitting more than once, Stable stochastic processes, 60G70, hitting probability, total dependence process, Probability (math.PR), FOS: Mathematics, functional \(D\)-norm, max-stable process, Mathematics - Probability
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