the distribution of the maximum of stationary Gaussian
sequences and processes
Université de Toulouse, France
We first present MCQMC (Monte-Carlo Quasi Monte-Carlo) methods for
computing high dimension Gaussian integrals.
Then we introduce upper- and lower- bounds for the distribution
of the maximum of random sequences and process by discretization or by
Record method that look at the first time
the process crosses a given level. High dimensional Gaussian
integration permits to compute these bounds and
we present several numerical applications to practical cases.