Seminari del Dipartimento di Matematica

Seminario del 2018

Claudio Macci, Dipartimento di Matematica, Università di Roma Tor Vergata

Asymptotic behavior of some hitting probabilities for sums of IID Gaussian random sets

nell'ambito della serie: SEMINARI DI PROBABILITÀ E STATISTICA MATEMATICA

probabilità

We consider sequences of partial sums of iid Gaussian random sets (with respect to the Minkowski sum) and we study the asymptotic behavior of some hitting probabilities (of suitable sets of $R^d$) for these partial sums. We also illustrate the use of the importance sampling for the estimation of these hitting probabilities by Monte Carlo simulations. We obtain the analog of well-known results for level crossing probabilities of random walks, and we refer to a version of the classical Cramér's Theorem in large deviations for random compact sets existing in the literature. Joint work with Barbara Pacchiarotti.