Falk, Michael; Hofmann, Martin - In: Stochastic Processes and their Applications 122 (2012) 3, pp. 1110-1128
We investigate the sojourn time above a high threshold of a continuous stochastic process Y=(Yt)t∈[0,1]. It turns out that the limit, as the threshold increases, of the expected sojourn time given that it is positive, exists if the copula process corresponding to Y is in the functional domain...