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Olga Vasylyk, Yuriy Kozachenko, Rostyslav Yamnenko

Upper estimate of overrunning by Sub φ (Ω) random process the level specified by continuous function

Keywords: -sub-Gaussian stochastic process, metric entropy, supremum distribution, process of Ornstein-Uhlenbeck

In this paper we consider random process from the space Sub φ (Ω), which is defined on compact set, and the probability that supremum of this process exceeds some function. The class of Sub φ (Ω) random processes is more general than the class of Gaussian processes. By applying obtained estimation to a fluid queue fed by a process of Ornstein-Uhlenbeck from the space strictly Sub φ (Ω), where

we show that for interval [a, b] there exist constants A, B, D and

for large enough buffer capacity x.

Random Operators and Stochastic Equations, Walter de Gruyter

Print ISSN: 0926-6364
Volume: 13, 06/2005
Pages: 111 - 128

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