Pickands' constant at first order in an expansion around Brownian motion

Mathieu Delorme, Kay Jörg Wiese
CNRS-Laboratoire de Physique Théorique de l'Ecole Normale Supérieure, PSL Research University, Sorbonne Universités, UPMC, 24 rue Lhomond, 75005 Paris, France.

Abstract

In the theory of extreme values of Gaussian processes, many results are expressed in terms of the Pickands constant $\mathcal{H}_{\alpha}$. This constant depends on the local self-similarity exponent $\alpha$ of the process, i.e. locally it is a fractional Brownian motion (fBm) of Hurst index $H=\alpha/2$. Despite its importance, only two values of the Pickands constant are known: ${\cal H}_1 =1$ and ${\cal H}_2=1/\sqrt{\pi}$. Here, we extend the recent perturbative approach to fBm to include drift terms. This allows us to investigate the Pickands constant $\mathcal{H}_{\alpha}$ around standard Brownian motion ($\alpha =1$) and to derive the new exact result $\mathcal{H}_{\alpha}=1 - (\alpha-1) \gamma_{\rm E} + \mathcal{O}\!\left( \alpha-1\right)^{2}$.


arXiv:1609.07909 [pdf]
J. Phys. A 50 (2017) 16LT04 [pdf] [MR report]


Copyright (C) by Kay Wiese. Last edited June 9, 2020.