Title :
Extremals of Gaussian processes
Author_Institution :
Purdue University, Lafayette, Indiana
Abstract :
The probability distribution and moments of the random variable max0 ?? t ?? T[Y(t)-E(Y(t)] are determined where Y(t) is an integral of a nonstationary Gaussian process obeying a stochastic dfferential equation. Some applications of the results are given.
Keywords :
Differential equations; Gaussian processes; Markov processes; Stochastic processes;
Conference_Titel :
Adaptive Processes (9th) Decision and Control, 1970. 1970 IEEE Symposium on
Conference_Location :
Austin, TX, USA
DOI :
10.1109/SAP.1970.270035
