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Maxima of continuous-time stationary stable processes

Published online by Cambridge University Press:  01 July 2016

Gennady Samorodnitsky*
Affiliation:
Cornell University
*
Postal address: School of Operations Research and Industrial Engineering, Cornell University, Ithaca, NY 14853, USA. Email address: [email protected]

Abstract

We study the suprema over compact time intervals of stationary locally bounded α-stable processes. The behaviour of these suprema as the length of the time interval increases turns out to depend significantly on the ergodic-theoretical properties of a flow generating the stationary process.

Type
General Applied Probability
Copyright
Copyright © Applied Probability Trust 2004 

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