Debicki, K.; Kosinski, K.M.; Mandjes, M.; Rolski, T. - In: Stochastic Processes and their Applications 120 (2010) 12, pp. 2289-2301
This paper considers extreme values attained by a centered, multidimensional Gaussian process X(t)=(X1(t),...,Xn(t)) minus drift d(t)=(d1(t),...,dn(t)), on an arbitrary set T. Under mild regularity conditions, we establish the asymptotics of for positive thresholds qi0, i=1,...,n and...