2014/07/24 by Peng Liu, Liu, Peng, Lanpeng Ji +1
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Financial Risk and Volatility Modeling #Mathematical Dynamics and Fractals #Probability (math.PR) #Stochastic processes and financial applications #math.PR
paper · pdf · doi:10.48550/arxiv.1407.6501
23 pages
openalex publication_date 2014/07/24 · arxiv created 2015/02/23 · arxiv updated 2015/02/24 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
This paper studies the supremum of a chi-square process with trend over a threshold-dependent-time horizon. Under the assumption that the chi-square process is generated from a centered self-similar Gaussian process and the trend function is modeled by a polynomial function, we obtain the exact tail asymptotics of the supremum of the chi-square process with trend. These results are of interest in applications in engineering, insurance, queueing and statistics, etc. Some possible extensions of our results are also discussed.