Answer 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...
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 ArticleInfimum 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...
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