Extrema of multi-dimensional Gaussian processes over random intervals

Abstract

This paper studies the joint tail asymptotics of extrema of the multi-dimensional Gaussian process over random intervals defined as $$ P(u):=\mathbb{P}\left\{\cap_{i=1}^n \left(\sup_{t\in[0,\mathcal{T}_i]} ( X_{i}(t) +c_i t )>a_i u \right)\right\}, \ \ \ u\to\infty, $$ where $X_i(t), t\ge0$, $i=1,2,\cdots,n,$ are independent centered Gaussian processes with stationary increments, $\boldsymbol{\mathcal{T}}=(\mathcal{T}_1, \cdots, \mathcal{T}_n)$ is a regularly varying random vector with positive components, which is independent of the Gaussian processes, and $c_i\in \mathbb{R}$, $a_i>0$, $i=1,2,\cdots,n$. Our result shows that the structure of the asymptotics of $P(u)$ is determined by the signs of the drifts $c_i$'s. We also discuss a relevant multi-dimensional regenerative model and derive the corresponding ruin probability.