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Article

High Excursions of Bessel Process and Other Processes of Bessel Type

Doklady Mathematics. 2019. Vol. 1. No. 100. P. 346-348.
Piterbarg V., Родионов И.

А high excursion probability for the modulus of a Gaussian vector process with independent identically distributed components is evaluated. It is assumed that the components have means zero and variances reaching its absolute maximum at a single point of the considered time interval. An important example of such processes is the Bessel process.