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865

. .


X (, ), / () = sup X (t, )
([1][5]).| ,
, ,
. ; , ,
-(- ~|
. ,
<^,
.
.
,
.
, ,
[4]j ;
. [5].
. . . . [5]
.
[5] , . [4]
.
,
; [4] [5],
, , .'
, ,
.
1. l i , ' | , . . .
,
sup <[ -\- 1, ^ 0 i D ^ j
; F () = {sup | <^ ) ,
, , = inf {a: F () ^> 0} (, = , F
); ( ,-\- ) F . (
- ; . A n n . Probability,
1, 1 (1973), 97.),. F' ( ,-\- ),
, ; F'
[, + ) ^> .
a

. F F' ;
. , . . .
, | = 2 | = -|_ i = 1, 2, . . ., 6 = (2 In i +
-[- 2 In In 1)~ i; = sup
1
>1
. ( , Proc. 6th
Berkeley Symp., 2, . 435.) , sup = max_(2 , Zo+ );
0

1(

1,

^> 1 (
1 ) , = 1
, , , 2.
2. 1 , F (6J-f- 0) ^> 0
t,

F(b + 0) = <D(t) = \ - A ^ e x p f - J L ^ W

_i

/2

) .

> 6
F' () < ( L + 2)2 ( - )-*\ + (f_ + 2) +

( + )~F'

<

( F

2)4

b )

-t

)-\

) 2

W _
(f

2)

_. - >
)

6*

. .

866

= (, 0) t_ = m a x ( t, 0); , F () ^> / ,
^> 0 ^>
+

I at \\ (at

*'()< (l -

[))

(1 +

2<) +

(
4),
F' ( + h) F' ()

1)

(1 +

; .

Iat\\la4*l

\2

\ i

\2;

= ^ " ( ) " * - .
1 2 . 2
,
.
R^i y
cpiv (z) =
= (2n)~
( / | z | ) , ^ R r
. . gj (z) = <z, Zj> + R , c R. sup
/ R , , ,
, F () = ^ (V ), F = {z R : / (z) < } . , /
(

). ,
D l j 0, / . , | ^ 0, <z, grad / (z)> < J
^ / (z) z; ,
N

NI2

14

1
<z, grad / (z)> = lim (/ (z + ez) - / (z)) =
-*0
1
= lim (sup <(1 + e) z, z,> + , / (z)) <
e^>0
i

< lim

4~ ((1 +

e) (sup <z, z-> + ) - / (z)) = / (z)

->0

(, ^ 0 ) . /
| , , F 2.
.
.
> = inf / S = {z = R^: / (z) = } ;
Z = I grad / (z) |
( S
/ ) . , P o + j X V S
1 + (), (., , [6], . 384)

_ 1

() = \

(*)

()

(1)

( ). ,
, S ; ,
. (1)
F' ().
(1) .
tf> R ^
a

dS ()

= l

+ ()\ dS (),

(2)

l grad / () S , |> ()/

|) , S
\ (2) , - -f

-f- (1 , -[- ()) S S


S ,

867

( ., , [6], . 427428).

a+S

(3)
g

S , F" () (
),
. F' [ + h) F' ()
D F ( a ) = l i m

. (2) a

>0

JL(

$(x)dS(x)-

^ if () * ? ( * ) ) <

a+h

<

(
ee[o,i] \

[
^ f ^
J
\ "
a+eft

/+

& +

[
IJCjbWdSlx)),
J
a+eft

(4)

i|>,
6.
a|) () = l y () , , .
x

,
(4) |) () = l (f
x

| grad / () |

0, . .

l ^ 0,
x

() h - 0
(5)
s

Sa+h

a+h

(3).
. .

2

^ ~Y ) < ( + 1) ^ (
+

-g- ) dn,

-\- t*j < ( ( i ) + 3) ^ ( 0

- - ) .

(6)

(7)

(6) : t >

( | ~ < ) = ^ " + 2 + l (~ 4"


2

d M

< J (~ 4" )

(7) ,

1J

2 ^ -g i
" t ++ 3
2

j ; > ^ ^ - ? " ^
2

i g i S = (, >; (6) ,

<? () = ( 2 ) - ^ ( - 4~ (| | - | ) )
2

*) <

< (2)-^'' (-4"

(I * I -4)

) ( * + 4) ^

(~ 4"

d u

'

'

868

. .

. .

<PJV (*) < ( +

(* +

(>

, * ( ) . (7)
;

<f> (x)<((c )*+3)


N

^Xcpxix

+ Xnjdl.

(9)

V { -|- % : > 0 } , ^ ,
a

(z) dz =

(1 +

()) . . . (1 + _ ()) - ( -f

d M S (),

(), . . ., ^Tjv^ () S , i|)


. (
(,
i -|- kn .) | J > 0

t(z)dz> ^
i

|>(* + ) d W S ^ ) ,

|> (z) d z > ^

(10)

[ + ) < 5 ()

()

(, K () ^ 0 i? ). z R \ 7
(z) z S , ( -|~ ^ ) = :; (1)
(8)
t

00
F

' <

\ x ( - f 1) $ 4>W (
l

(10)
^

<

W)( H(z) +

>j

r f

) r W;

(12)

(9) (11) ,

5
,

% XVN

<

( )

((4z)) + ) <*T

^ () = < , - ^ (z)> = - ^ (), * _

_(2/2

< ~

^.^,t

dS

\ * (-^r^)

()

<

(+

dW5()

\^ 4 5 * ^

()

d S {)

<

<4 \

(z)

(, a Z> / (0) c
, .) (5)
,
x

869

( (z) ),

,V

R W

.

[5] ( 3) ^ :
1

- ( ))-- ))>'

R , /--
, . " > , ,
.
, (z, ) ( z ) G () =
= y (z: (z, .4) < }, G () ^ (t -\- )
> 0; t = (y ()). [0, ~|- )
g
w

- 1

- 1

00

g(?(z,A))

dy

(*) < 5 g ( - t) ().

(14)

(12) (13) (z, V ),


p , (14). / , f () / () ^
^ </ , grad / ()> , ; S , _ V
b

> < / , g r a d / ( ) > ,

| grad / () | >

_ ^j

_ 1

, , ^ ( ) . , ( + ^., ) . X,

Pff(z) ^ P

' ^H(z) ^ (

. , grad / (s)> < / (),


2

a l

xE.S .

, (12), (13) (14)

F' () < ^ ( ) - ( 0 ( ( ) - ( 0 + 1) d< (),

(15)

D+F'

() < ^ ( )- ( ) ^ ( ) ( )" ( i ) + 4f)


+

().

(16)

2, ,

( - "

(*) < (t- + 2)

fe

= 1,2,3,4;

,
1//

X/fc

< | | <2 ()\

( - * <* ())

l/

'

< ( J ())

1/

II* ^ ())

'

<

+111 (l _

( ))V. < v .
i
3

t ^
14

('/) '

+ max
*>

(1 ())' < 2.

2 (15)
(16). t > 0 ] ' > > 0. (. [4], 1; . [5],
4), F~ ()1~ () ( V , 1); (/6) <
x

870

. .

< F (); F () ^ ( ) G S ,
, R " \ F

V {z: <z, > ^ );


> ( - ) l

H ( z )

>

> 5

(15) (16) [t, + 0 0 )


[atlb, + 0 0 ) .
g [, -(-)

5 g () () < (1 _ ()) T^g(u)

( - > du;

, ' ( ) !

'
(

() = (1 ()) - - \

^ ' () du = [ 1 () d

at

u ( r , + 00). =

g(u) = (u {)%

ft

( )!

?/
1

_ 1

''

- 2

= ~ ( & ) t , 2
.
. .
F () = {sup | < ) F () = {sup < } ; F (a) j F ()

F , F
- 2 . ,
[ , ] ( , +) ,
N 6, &!, 6 , ] , &j < 6 ,
N

0 < F' (b) < mi

(6 ) -

f ^ (61) < m (6 61).


2

,
Y F *^V

mib + V (m & i-'jy

ai

(&)) < 2ma (a ai) +


2

mi;

ai

, . F
[ , ] ;
{FJSI}T=X W [ a ] , F (&) - W (&)
W, , . &i, &2 65
S
1 F ,
N

lt

F (& ) - i (&i) = lim F _ (62) - F . (61) = l i m \ f ^ . (6) db=^W


3

(b) db,

bi

bi

F W (b) = F ' (&) [ a ] .


, F , , ,
( , -)-), 0
( , -f-oo),
, &i, b Ez
a ],
< & , F'(b)
F ' (& ) F ' (bj) ^ m (& &i)>
] ( , +) , ? , F~'
N; , 2 F F .
2 . , F ' , , ,
[, -)-) > ,
2 ( ) a - -]-. 1.
1;

-2

871

. 1 = sup Dgf, [5]

- 1

( 4), F* () ()
6 [0, -(-) \ 1. ,
1
/ ci \

'

, ^ () > 0; 2 ,
> 0
1
*'()<

/ C l \
' ( )

[ 8
, 1 I
< I,
8 ( ),
. , E > 0 I
(, F)

1/s

F'(a + h) F'(a)
lim

3. 1
*
; F
( , -j-oo),
= ml {: F () > 0}; F' ( , -(-),
,
[, -(-) ^> ,
0

-,.
F'(a + h) i'(a)
hm__LJ_-i
\
h-*Q

>

, ,

_ ! L

1 1

( ) |

pi = E g j , = D g .
.
;

, ( = 0, = 1;
1

sup ( |

pi)

J ( -\- ]). [1] , F F () =

ip (6) (6),

. 1
2 , . , , F ,
F' ; F' ( , -)-),
1 .
/1
\
1
F'(a)
F'(a)e^[^)=
- ; ,
0

*>+*)-*'()

>

__

a F

>

{ a )

2
F' [, + ) > .
4. 3 , () -*
5> 0 ( ()) > - ) - -(- ;
0

t(a)
~ - -

/ at(a)\

( ) ~ ' (' )

/ 1
\
( 5 ( - ()))

* -\- , t () (t ()) ~ F ( ()).


.

t ()
= Tfe)

/ at () \
'
) '

1
2

= V

' <

/ 1
\ - ^

^ -

\
()))

. .

872

(. 3) [5]
,
() - a t () = (1),
(17)
' (t ()) < a F' (6 ()).
(18)
(17), , ~ Z ; , t ()/ ()
1/,
, ,
1 / at(a)\2
1
a (a 6(a))
, ,
/
1 ,
' + 6 () \

= 0 ( 1 ) - ^ 1 [ + " ( J = o (!)

wja)

+o(l)-0..

, F' (a) ~ Y , fx = 0, a = 1 .
[1], ( 3), ,
F' ( ())/' (6 ()) < F' ()/' (), ( ) < . (18)
F' () ! > ' () ' (t ())/' (6 ()); ' (at ()/
/6 ()),
2

a f ()
t*(a) + a*-b*(a)
=
( (a) i ( a ) ) ( a (a))
(6 () t (a)) (a 6 (a)) 4 a
~
0;
6-'()
a;
2

, i<" (a) ^ (1 -|- (1)). 2 :


, 6 () ~ a, t ()

()
1
,
" ~ ( 6 ()) t (a)
( 6 ())

at (a)

f ' (a) < ^1 -

j j a (1 +

(1)) = Y (1 + (1)).

, ~ Z ." (a) ~ pi = 0, a = 1; ,
F' ( ) ~ Z pi = 0, a = 1 .
1
sup (; ()
( ) = ^ (0 - J - pi).
'&i a6 ( a ) -)- pi = b (aa - j - pi), a &! ( a ) - > 0 a (a
bi (ax)) . -(- oj; -f- oo. ,
:^ i ' K ) ~
' (*i ) (a ( a 6 ) ) ,

t (t ( )) = ^ (6 (%))
-f- pi). -*. pi , ,
x

(^) = t (

*'(<0~'())(_

IX

6 ()

F' ( ) ~ Z .

17.9.74

[1] D . Y l v i s a k e r , A note on the absence of tangencies in Gaussian sample paths, A n n .


M a t h . Statist., 39, 1 (1968), 2 6 1 - 2 6 2 .
[2] . . , ,
. ., X V , 3 (1970), 519520.
[3] X . Feraique, Integrabilite des vecteurs gaussiens, . R . A c a d . S c i . Paris, Ser. A ,
270, 25 (1970), 16981699.
[4] H . J . Landau, L . A . Shepp, On the supremum of a Gaussian process, S a n k h y a , Ser.
A , 32, 4 (1970), 369378.

873

[5] . . , . . ,
, . , 41 (1974),
1424.
[6] . . , , . 2, . , , 1965.

THE DENSITY OF T H E DISTRIBUTION OF THE MAXIMUM


OF A GAUSSIAN PROCESS
B. S. CIREL'SON

(LENINGRAD)

(Summary)
Let X (t, ) be a separable Gaussian process,
ViEX^O,

/ (to) = sup X (t, c o ) < with probability 1,


t

F (a) = P | / < a};

inf { a : F {a) > 0} = an <EE [ oo, -j- ).

Then the density F' (a) exists and is continuous at every a except, may be, a (at this
and only this point F may have a jump!) and at most countable set of points, at which
F' has jumps downwards. The density F' (a) decreases almost as rapidly as exp ( ^ a / 2 )
when a - + oo.
Provided E X ; and E X do not depend on t, F is continuous everywhere and ^'every
where except, may be, a , where F' may have a jump of a finite size. Asymptotic be
haviour of 1 F at -f- oo determines that of F'. Corresponding inequalities are given.
0

. . &
1.

.
[1], [2]
, . [3] ,
,

,
.
-,
([4], 3).
,
, ,
,
: 1)
, , (. 3);
2)
(. 4).

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