Extremes and Limit Theorems for Difference of Chi-type processes

Abstract

Let $\{ζ_{m,k}^{(κ)}(t), t \ge0\}, κ>0$ be random processes defined as the differences of two independent stationary chi-type processes with $m$ and $k$ degrees of freedom. In applications such as physical sciences and engineering dealing with structure reliability, of interest is the approximation of the probability that the random process $ζ_{m,k}^{(κ)}$ stays in some safety region up to a fixed time $T$. In this paper we derive the asymptotics of $\mathbb{P}\{\sup_{t\in[0, T]}ζ_{m,k}^{(κ)}(t)> u\}, {u\to\infty}$ under some assumptions on the covariance structures of the underlying Gaussian processes. Further, we establish a Berman sojourn limit theorem and a Gumbel limit result.