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Infimum of Gaussian process
Consider a Gaussian Process $g\sim GP(\mu,k)$ with mean zero $\mu\equiv0$ and continues covariance $k(t_1,t_2)=k(|t_1-t_2|)$ defined on the interval $A=[0,T]$. I'd like to make no assumptions about...
View ArticleAnswer by Yoav Kallus for Infimum of Gaussian process
Googling "Stationary Gaussian process" and "level crossing" or "first passage" brings up a lot of relevant-looking material. This one seems to address your question most directly out of the ones I...
View ArticleAnswer by Uri Cohen for Infimum of Gaussian process
I'll summarize what I've learned.Denote a Gaussian Process $g\sim GP(\mu,k)$ with mean zero $\mu\equiv0$ and continues covariance $k(t_{1},t_{2})=k(|t_{1}-t_{2}|)$ defined on the interval $[0,T]$ and...
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