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arXiv:2110.01046 [math.PR]AbstractReferencesReviewsResources

A limit theorem for the last exit time over a moving nonlinear boundary for a Gaussian process

Nikita Karagodin

Published 2021-10-03, updated 2022-05-31Version 2

We prove a limit theorem on the convergence of the distributions of the scaled last exit time over a slowly moving nonlinear boundary for a class of Gaussian stationary processes. The limit is a double exponential (Gumbel) distribution.

Comments: 20 pages. Revised structure and fixed typos, results unchanged. arXiv admin note: substantial text overlap with arXiv:2012.03222
Categories: math.PR
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