(t) and the formula one needs is for the precise value u = 0 so that a
formula for almost every u does not solve the problem.
We have added the Rice formula for processes dened on smooth manifolds.
Even though the Rice formula is local, this is convenient for various applications.
We will need a formula of this sort to state and prove the implicit formulae for the
derivatives of the distribution of the maximum (see Section 3).
The results on the differentiation of F
I
are partial extensions of Azas and
Wschebor (2001). Here, we have only considered the rst derivative F
I
(u). In
fact, one can push our procedure one step more and prove the existence of F
I
(u)
as well as some implicit formula for it. But we have not included this in the present
paper since formulae become very complicated and it is unclear at present whether
the actual computations can be performed, even in simple examples. The technical
reason for this is that, following the present method, to compute F
I
(u), one needs
to differentiate expressions that contain the helix process that we introduce
in Section 4, containing singularities with unpleasant behavior [see Azas and
Wschebor (2002)].
For Gaussian elds dened on a ddimensional regular manifold (d > 1) and
possessing regular paths we obtain some improvements with respect to classical
and general results due to Tsirelson (1975) for Gaussian sequences. An example
is Corollary 5.1, which provides an asymptotic formula for F
I
(u) as u +
which is explicit in terms of the covariance of the process and can be compared
with Theorem 4 in Tsirelson (1975) where an implicit expression depending on
the function F itself is given.
We use the following notation:
If Z is a smooth function U R
d
, U a subset of R
d
, its successive
derivatives are denoted Z
, Z
, . . . , Z
(k)
and considered, respectively, as lin
ear, bilinear, . . . , klinear forms on R
d
. For example, X
(3)
(t )[v
1
, v
2
, v
3
] =
d
i,j,k=1
3X(t )
t
i
t
j
t
k
v
i
1
v
j
2
v
k
3
. The same notation is used for a derivative on a C
man
ifold.
I, I and
I are, respectively, the interior, the boundary and the closure of the
set I . If is a random vector with values in R
d
, whenever they exist, we denote
256 J.M. AZAS AND M. WSCHEBOR
by p
(x) the value of the density of at the point x, by E() its expectation and by
Var() its variancecovariance matrix. is Lebesgue measure. If u, v are points
in R
d
, u, v denotes their usual scalar product and u the Euclidean norm of u.
For M a d d real matrix, we denote M =sup
x=1
Mx.
Also for symmetric M, M 0 (resp. M 0) denotes that M is positive denite
(resp. negative denite). A
c
denotes the complement of the set A. For real x,
x
+
=sup(x, 0), x
=sup(x, 0).
2. Rice formulae. Our main results in this section are the following:
THEOREM 2.1. Let Z: I R
d
, I a compact subset of R
d
, be a random eld
and u R
d
. Assume that:
(A0) Z is Gaussian.
(A1) t Z(t) is a.s. of class C
1
.
(A2) For each t I , Z(t) has a nondegenerate distribution [i.e., Var(Z(t)) 0].
(A3) P{t
I, Z(t) =u, det(Z
det
_
Z
(t)
_
/Z(t) =u
_
p
Z(t)
(u) dt, (1)
and both members are nite.
THEOREM 2.2. Let k, k 2, be an integer. Assume the same hypotheses as in
Theorem 2.1 except for (A2), which is replaced by:
(A
2) for t
1
, . . . , t
k
I pairwise different values of the parameter, the distribution
of (Z(t
1
), . . . , Z(t
k
)) does not degenerate in (R
d
)
k
. Then
E
__
N
Z
u
(I)
__
N
Z
u
(I) 1
_
_
N
Z
u
(I) k +1
__
=
_
I
k
E
_
k
j=1
det
_
Z
(t
j
)
_
/Z(t
1
) = =Z(t
k
) =u
_
(2)
p
Z(t
1
),...,Z(t
k
)
(u, . . . , u) dt
1
dt
k
,
where both members may be innite.
REMARK. Note that Theorem 2.1 (resp. Theorem 2.2) remains valid if one
replaces I by
I in (1) or (2) and if hypotheses (A0)(A2) [resp. (A
(t))) >0,
(b)
Z
() </d,
where
Z
is the continuity modulus of Z
(
i
)v)
i
=0. Thus
_
Z
(t
1
)v
_
i
_
Z
(t
1
)v
_
i
_
Z
(
i
)v
_
i
k=1
Z
(t
1
)
ik
Z
(
i
)
ik
v
k

Z
( )
d
k=1
v
k

Z
( )
d.
In conclusion,
min
(Z
(t
1
)) Z
(t
1
)v
Z
( )d, which implies > .
,
(u) =F
_
1
2
inf
sI
_
min
_
Z
(s)
_
+Z(s)u
_
_
_
1F
_
d
Z
()
__
, (3)
and the set I
={t I : t s , s / I}. If
,
(u) > 0 and N
Z
u
(I
) does
not vanish, conditions (a) and (b) in Lemma 2.2 are satised. Hence, in each
ball with diameter
2
centered at a point in I
) is bounded
by a constant C(, I), depending only on and on the set I .
Take now any realvalued nonrandom continuous function f : R
d
R with
compact support. Because of the coarea formula [Federer (1969), Theorem 3.2.3],
since a.s. Z is Lipschitz and
,
(u) f (u) is integrable,
_
R
d
f (u)N
Z
u
(I
)
,
(u) du =
_
I
det
_
Z
(t)
_
f (Z(t))
,
(Z(t)) dt.
Taking expectations in both sides,
_
R
d
f (u)E
_
N
Z
u
(I
)
,
(u)
_
du
=
_
R
d
f (u) du
_
I
E
_
det
_
Z
(t)
_
,
(u)/Z(t) =u
_
p
Z(t)
(u) dt.
It follows that the two functions
(i) E(N
Z
u
(I
)
,
(u)),
(ii)
_
I
E( det(Z
(t))
,
(u)/Z(t) =u)p
Z(t)
(u) dt ,
coincide Lebesguealmost everywhere as functions of u.
Let us prove that both functions are continuous, hence they are equal for
every u R
d
.
Fix u = u
0
and let us show that the function in (i) is continuous at u = u
0
.
Consider the random variable inside the expectation sign in (i). Almost surely,
there is no point t in Z
1
({u
0
}) such that det(Z
)
,
(u) is bounded by a constant that does not depend on u.
For the continuity of (ii), it is enough to prove that, for each t I the conditional
expectation in the integrand is a continuous function of u. Note that the random
DISTRIBUTION OF THE MAXIMUM 259
variable  det(Z
(t))
,
(u) is a functional dened on {(Z(s), Z
(s)) : s I}.
Perform a Gaussian regression of (Z(s), Z
j
(s) =Y
t
j
(s) +
t
j
(s)Z(t), j =1, . . . , d,
where Z
j
(s), j = 1, . . . , d, denote the columns of Z
(s), Y
t
(s) and Y
t
j
(s)
are Gaussian vectors, independent of Z(t) for each s I , and the regression
matrices
t
(s),
t
j
(s), j = 1, . . . , d, are continuous functions of s, t [take into
account (A2)]. Replacing in the conditional expectation, we are now able to get
rid of the conditioning, and using the fact that the moments of the supremum of an
a.s. bounded Gaussian process are nite, the continuity in u follows by dominated
convergence.
So, now we x u R
d
and make 0, 0 in that order, both in (i) and (ii).
For (i) one can use Beppo Levis theorem. Note that almost surely N
Z
u
(I
)
N
Z
u
(
I) = N
Z
u
(I), where the last equality follows from Lemma 2.1. On the other
hand, the same Lemma 2.1 plus (A3) imply together that, almost surely,
inf
sI
_
min
_
Z
(s)
_
+Z(s) u
_
>0
so that the rst factor in the righthand side of (3) increases to 1 as decreases to
zero. Hence by Beppo Levis theorem,
lim
0
lim
0
E
_
N
Z
u
(I
)
,
(u)
_
=E
_
N
Z
u
(I)
_
.
For (ii), one can proceed in a similar way after deconditioning obtaining (1). To
nish the proof, remark that standard Gaussian calculations show the niteness of
the righthand side of (1).
PROOF OF THEOREM 2.2. For each >0, dene the domain
D
k,
(I) ={(t
1
, . . . , t
k
) I
k
, t
i
t
j
if i =j, i, j =1, . . . , k}
and the process
Z
(t
1
, . . . , t
k
) D
k,
(I)
Z(t
1
, . . . , t
k
) =
_
Z(t
1
), . . . , Z(t
k
)
_
.
It is clear that
Z satises the hypotheses of Theorem 2.1 for every value
(u, . . . , u) (R
d
)
k
. So,
E
_
N
Z
(u,...,u)
_
D
k,
(I)
__
=
_
D
k,
(I)
E
_
k
j=1
det
_
Z
(t
j
)
_
/Z(t
1
) = =Z(t
k
) =u
_
(4)
p
Z(t
1
),...,Z(t
k
)
(u, . . . , u) dt
1
dt
k
.
260 J.M. AZAS AND M. WSCHEBOR
To nish, let 0, note that (N
Z
u
(I))(N
Z
u
(I) 1) . . . (N
Z
u
(I) k + 1) is
the monotone limit of N
Z
(u,...,u)
(D
k,
(I)), and that the diagonal D
k
(I) = {(t
1
,
. . . , t
k
) I
k
, t
i
=t
j
for some pair i, j, i =j} has zero Lebesgue measure in (R
d
)
k
.
REMARK. Even thought we will not use this in the present paper, we point
out that it is easy to adapt the proofs of Theorems 2.1 and 2.2 to certain classes of
nonGaussian processes.
For example, the statement of Theorem 2.1 remains valid if one replaces
hypotheses (A0) and (A2), respectively, by the following (B0) and (B2):
(B0) Z(t) = H(Y(t )) for t I , where Y : I R
n
is a Gaussian process with
C
1
paths such that for each t I, Y(t) has a nondegenerate distribution and
H : R
n
R
d
is a C
1
function.
(B2) For each t I , Z(t) has a density p
Z(t)
which is continuous as a function
of (t, u).
Note that (B0) and (B2) together imply that n d. The only change to be
introduced in the proof of the theorem is in the continuity of (ii) where the
regression is performed on Y(t) instead of Z(t).
Similarly, the statement of Theorem 2.2 remains valid if we replace (A0) by
(B0) and add the requirement that the joint density of Z(t
1
), . . . , Z(t
k
) be a
continuous function of t
1
, . . . , t
k
, u for pairwise different t
1
, . . . , t
k
.
Now consider a process X from I to Rand dene
M
X
u,1
(I) ={t I, X() has a local maximum at the point t, X(t ) >u},
M
X
u,2
(I) ={t I, X
V(0)
P( det(X
(t ))<
/X
(t) =x
i
_
X
(t)
_
/X(t) =x, X
(t) =0
_
p
X(t),X
(t)
(x, 0) dt
and both members are nite.
2.1. Processes dened on a smooth manifold. Let U be a differentiable
manifold (by differentiable we mean innitely differentiable) of dimension d.
We suppose that U is orientable in the sense that there exists a nonvanishing
differentiable dform on U. This is equivalent to assuming that there exists
an atlas ((U
i
,
i
); i I) such that for any pair of intersecting charts (U
i
,
i
),
(U
j
,
j
), the Jacobian of the map
i
1
j
is positive.
We consider a Gaussian stochastic process with real values and C
2
paths
X ={X(t) : t U} dened on the manifold U. In this section we rst write Rice
formulae for this kind of processes without further hypotheses on U. When U is
equipped with a Riemannian metric, we give, without details and proof, a nicer
form. Other forms exist also when U is naturally embedded in a Euclidean space,
but we do not need this in the sequel [see Azas and Wschebor (2002)].
We will assume that in every chart X(t) and DX(t) have a nondegenerate joint
distribution and that hypothesis (A
k
_
Y
(s)
_
/Y(s) =x, Y
(s) =0
_
p
Y(s),Y
(s)
(x, 0)
d
i=1
ds
i
, (5)
where Y(s) is the process X written in the chart: Y =X
1
, denes a dform
k
on
U and for every Borel set S
U,
_
S
k
=E
_
M
X
u,k
(S)
_
.
PROOF. Note that a dform is a measure on
U whose image in each chart
is absolutely continuous with respect to Lebesgue measure
_
d
i=1
ds
i
. To prove
that (5) denes a dform, it is sufcient to prove that its density with respect to
_
d
i=1
ds
i
satises locally the changeofvariable formula. Let (U
1
,
1
), (U
2
,
2
)
be two intersecting charts and set
U
3
:=U
1
U
2
; Y
1
:=X
1
1
; Y
2
:=X
1
2
; H :=
2
1
1
.
262 J.M. AZAS AND M. WSCHEBOR
Denote by s
1
i
and s
2
i
, i =i, . . . , d, the coordinates in each chart. We have
Y
1
s
1
i
=
Y
2
s
2
i
H
i
s
1
i
,
2
Y
1
s
1
i
s
1
j
=
i
,j
2
Y
2
s
2
i
s
2
j
H
i
s
1
i
H
j
s
1
j
+
Y
2
s
2
i
2
H
i
s
1
i
s
1
j
.
Thus at every point
Y
1
(s
1
) =
_
H
(s
1
)
_
T
Y
2
(s
2
),
p
Y
1
(s
1
),Y
1
(s
1
)
(x, 0) =p
Y
2
(s
2
),Y
2
(s
2
)
(x, 0)
det
_
H
(s
1
)
_
1
,
and at a singular point,
Y
1
(s
1
) =
_
H
(s
1
)
_
T
Y
2
(s
2
)H
(s
1
).
On the other hand, by the changeofvariable formula,
d
i=1
ds
1
i
=
det
_
H
(s
1
)
_
1
d
i=1
ds
2
i
.
Replacing in the integrand in (5), one checks the desired result.
For the second part again it sufces to prove it locally for an open subset S
included in a unique chart. Let (S, ) be a chart and let again Y(s) be the process
written in this chart. It sufces to check that
E
_
M
X
u,k
(S)
_
(6)
=
_
(S)
d(s)
_
+
u
dx E
_
k
_
Y
(s)
_
/Y(s) =x, Y
(s) =0
_
p
Y(s),Y
(s)
(x, 0).
Since M
X
u,k
(S) is equal to M
Y
u,k
{(S)}, we see that the result is a direct
consequence of Theorem 2.3.
Even though in the integrand in (5) the product does not depend on the
parameterization, each factor does. When the manifold U is equipped with a
Riemannian metric it is possible to rewrite (5) as
_
+
u
dx E
_
k
_
2
X(s)
_
/X(s) =x, X(s) =0
_
p
X(s),X(s)
(x, 0) Vol, (7)
where
2
X(s) and X(s) are respectively the Hessian and the gradient read in an
orthonormal basis. This formula is close to a formula by Taylor and Adler (2002)
for the expected Euler characteristic.
REMARK. One can consider a number of variants of Rice formulae, in which
we may be interested in computing the moments of the number of roots of the
DISTRIBUTION OF THE MAXIMUM 263
equation Z(t) =u under some additional conditions. This has been the case in the
statement of Theorem 2.3 in which we have given formulae for the rst moment
of the number of zeroes of X
det
_
Z
1
(t
1
)
_
det
_
Z
2
(t
2
)
_
/Z
1
(t
1
) =u
1
, Z
2
(t
2
) =u
2
_
(8)
p
Z
1
(t
1
),Z
2
(t
2
)
(u
1
, u
2
).
VARIANT 2. Let Z, I be as in Theorem 2.1 and let be a realvalued bounded
random variable which is measurable with respect to the algebra generated by
the process Z. Assume that for each t I , there exists a continuous Gaussian
process {Y
t
(s) : s I}, for each s, t I a nonrandom function
t
(s) : R
d
R
d
and a Borelmeasurable function g : C R where C is space of realvalued
continuous functions on I equipped with the supremum norm, such that:
1. =g(Y
t
() +
t
()Z(t)),
2. Y
t
() and Z(t) are independent,
3. for each u
0
R, almost surely the function u g(Y
t
() +
t
()u) is
continuous at u =u
0
.
Then the formula
E
_
N
Z
u
(I)
_
=
_
I
E
_
det
_
Z
(t)
_
/Z(t) =u
_
p
Z(t)
(u) dt
holds true.
We will be particularly interested in the function = 1
M
I
<v
for some v R.
We will see later on that it satises the above conditions under certain hypotheses
on the process Z.
3. First derivative, rst form. Our main goals in this and the next section are
to prove existence and regularity of the derivative of the function u F
I
(u) and,
at the same time, that it satises some implicit formulae that can be used to provide
bounds on it. In the following we assume that I is a ddimensional C
manifold
264 J.M. AZAS AND M. WSCHEBOR
embedded in R
N
, N d. and are respectively the geometric measures on
I and I . Unless explicit statement of the contrary is made, the topology on I will
be the relative topology.
In this section we prove formula (10) for F
I
(u)which we call rst form
which is valid for almost every u, under strong regularity conditions on the paths
of the process X. In fact, the hypothesis that X is Gaussian is only used in the
Rice formula itself and in Lemma 3.1 which gives a bound for the joint density
p
X(s),X(t),X
(s),X
(t)
. In both places, one can substitute Gaussianity by appropriate
conditions that permit to obtain similar results.
More generally, it is easy to see that inequality (9) is valid under quite general
nonGaussian conditions and implies that we have the following upper bound for
the density of the distribution of the random variable M
I
:
F
I
(u)
_
I
E
_
1
_
X
(t)
_
/X(t) =u, X
(t) =0
_
p
X(t),X
(t)
(u, 0)(dt )
(9)
+
_
I
E
_
1
_
(t)
_
/X(t) =u,
X
(t) =0
_
p
X(t),
(t)
(u, 0) (dt),
where the function
1
has been dened in the statement of Theorem 2.3 and
X
denotes the restriction of X to the boundary I .
Even for d = 1 (oneparameter processes) and X Gaussian and stationary,
inequality (9) provides reasonably good upper bounds for F
I
(u) [see Diebolt and
Posse (1996) and Azas and Wschebor (2001)]. We will see an example for d =2
at the end of this section.
In the next section, we are able to prove that F
I
(u) is a C
1
function and
that formula (10) can be essentially simplied by getting rid of the conditional
expectation, thus obtaining the second form for the derivative. This is done
under weaker regularity conditions but the assumption that X is Gaussian becomes
essential.
DEFINITION 3.1. Let X: I R be a realvalued stochastic process dened
on a subset of R
d
. We will say that X satises condition (H
k
), k a positive integer,
if the following three conditions hold true:
(i) X is Gaussian;
(ii) a.s. the paths of X are of class C
k
;
(iii) for any choice of pairwise different values of the parameter t
1
, . . . , t
n
,
the joint distribution of the random variables X(t
1
), . . . , X(t
n
), X
(t
1
), . . . , X
(t
n
),
. . . , X
(k)
(t
1
), . . . , X
(k)
(t
n
) has maximum rank.
The next proposition shows that there exist processes that satisfy (H
k
).
PROPOSITION 3.1. Let X ={X(t) : t R
d
} be a centered stationary Gaussian
process having continuous spectral density f
X
. Assume that f
X
(x) >0 for every
DISTRIBUTION OF THE MAXIMUM 265
x R
d
and that for any > 0 f
X
(x) C
and all x R
d
. Then, X satises (H
k
) for every k =1, 2, . . . .
PROOF. The proof is an adaptation of the proof of a related result for d = 1
[Cramr and Leadbetter (1967), page 203]; see Azas and Wschebor (2002).
THEOREM 3.1 (First derivative, rst form). Let X: I R be a Gaussian
process, I a C
I
(u) =(1)
d
_
I
E
_
det
_
X
(t)
_
1
M
I
u
/X(t) =u, X
(t) =0
_
p
X(t),X
(t)
(u, 0)(dt)
(10)
+(1)
d1
_
I
E
_
det
_
(t)
_
1
M
I
u
/X(t) =u,
X
(t) =0
_
p
X(t),
(t)
(u, 0) (dt).
PROOF. For u <v and S (resp.
S) a subset of I (resp. I ), let us denote
M
u,v
(S) ={t S : u <X(t) v, X
(t) =0, X
(t) 0},
M
u,v
(
S) ={t
S : u <X(t) v,
X
(t) =0,
X
(t) 0}.
Step 1. Let h >0 and consider the increment
F
I
(u) F
I
(u h)
=P
_
{M
I
u} [{M
uh,u
(
I) 1} {
M
uh,u
(I) 1}]
_
.
Let us prove that
P
_
M
uh,u
(
I) 1,
M
uh,u
(I) 1
_
=o(h) as h 0. (11)
In fact, for >0,
P
_
M
uh,u
(
I) 1,
M
uh,u
(I) 1
_
(12)
E
_
M
uh,u
(I
M
uh,u
(I)
_
+E
_
M
uh,u
(I \ I
)
_
.
The rst term in the righthand side of (12) can be computed by means of a
Ricetype formula, and it can be expressed as
_
I
I
(dt) (d
t )
_ _
u
uh
dx d x
E
_
1
_
X
(t)
_
1
_
t )
_
/X(t) =x,
X(
t ) = x, X
(t) =0,
X
t) =0
_
p
X(t),
X(
t ),X
(t),
t )
(x, x, 0, 0),
266 J.M. AZAS AND M. WSCHEBOR
where the function
1
has been dened in Theorem 2.3.
Since in this integral t
t , the integrand is bounded and the integral
is O(h
2
).
For the second term in (12) we apply the Rice formula again. Taking into
account that the boundary of I is smooth and compact, we get
E
_
M
uh,u
(I \ I
)
_
=
_
I\I
(dt)
_
u
uh
E
_
1
_
X
(t)
_
/X(t) =x, X
(t) =0
_
p
X(t),X
(t)
(x, 0) dx
(const)h(I \ I
) (const)h,
where the constant does not depend on h and . Since > 0 can be chosen
arbitrarily small, (11) follows and we may write as h 0:
F
I
(u) F
I
(u h)
=P
_
M
I
u, M
uh,u
(
I) 1
_
+P
_
M
I
u,
M
uh,u
(I) 1
_
+o(h).
Note that the foregoing argument also implies that F
I
is absolutely continuous
with respect to Lebesgue measure and that the density is bounded above by the
righthand side of (10). In fact,
F
I
(u) F
I
(u h) P
_
M
uh,u
(
I) 1
_
+P
_
M
uh,u
(I) 1
_
E
_
M
uh,u
(
I)
_
+E
_
M
uh,u
(I)
_
and it is enough to apply the Rice formula to each one of the expectations on the
righthand side.
The delicate part of the proof consists in showing that we have equality in (10).
Step 2. For g : I R we put g
= sup
tI
g(t ) and if k is a non
negative integer, g
,k
=sup
k
1
+k
2
++k
d
k
k
1
,k
2
,...,k
d
g
}. Because of
the LandauSheppFernique inequality [see Landau and Shepp (1970) or Fernique
(1975)] there exist positive constants C
1
, C
2
such that
P(E
C
h
) C
1
exp[C
2
h
2
] =o(h) as h 0,
so that to have (10) it sufces to show that, as h 0,
E
__
M
uh,u
(
I) 1
M
uh,u
(
I)1
_
1
M
I
u
1
E
h
_
=o(h), (13)
E
__
M
uh,u
(I) 1
M
uh,u
(I)1
_
1
M
I
u
1
E
h
_
=o(h). (14)
We prove (13). Equation (14) can be proved in a similar way.
DISTRIBUTION OF THE MAXIMUM 267
Put M
uh,u
=M
uh,u
(
det
_
X
(s)
_
det
_
X
(t)
_
1
X
(s)0,X
(t)0
1
E
h
/X(s) =x
1
,
(16)
X(t ) =x
2
, X
(s) =0, X
(t ) =0
_
p
X(s),X(t),X
(s),X
(t)
(x
1,
x
2
, 0, 0).
Our goal is to prove that A
s,t
is o(h) as h 0 uniformly on s, t . Note that
when s, t vary in a domain of the form D
(s), X
(t)), for s, t D
.
So it is enough to prove that A
s,t
=o(h) for t s small, and we may assume
that s and t are in the same chart (U, ). Writing the process in this chart, we may
assume that I is a ball or a half ball in R
d
. Let s, t be two such points, and dene
the process Y =Y
s,t
by Y() =X(s +(t s)); [0, 1]. Under the conditioning
one has
Y(0) =x
1
, Y(1) =x
2
, Y
(0) =Y
(1) =0,
Y
(0) =X
(1) =X
(0) =Q
(1) =0.
Check that
Q(y) =x
1
+(x
2
x
1
)y
2
(3 2y), Q
(0) =Q
(1) =6(x
2
x
1
).
Denote Z() =Y() Q(), 0 1. Under the conditioning, one has Z(0) =
Z(1) = Z
(0) = Z
() sup
[0,1]
Z
(4)
()
2!
= sup
[0,1]
Y
(4)
()
2!
(const)t s
4
h
. (17)
268 J.M. AZAS AND M. WSCHEBOR
On the other hand, check that if A is a positive semidenite symmetric d d
real matrix and v
1
is a vector of Euclidean norm equal to 1, then the inequality
det(A) Av
1
, v
1
det(B) (18)
holds true, where B is the (d 1) (d 1) matrix B =((Av
j
, v
k
))
j,k=2,...,d
and
{v
1
, v
2
, . . . , v
d
} is an orthonormal basis of R
d
containing v
1
.
Assume X
(s)v
j
, v
k
,
hence bounded by (const)h
. So,
det[X
(s)] X
(s)v
1
, v
1
C
d
h
(d1)
=C
d
[Y
(0)]
t s
2
h
(d1)
,
the constant C
d
depending only on the dimension d.
Similarly, if X
(t)] C
d
[Y
(1)]
t s
2
h
(d1)
.
Hence, if C is the condition {X(s) =x
1
, X(t) =x
2
, X
(s) =0, X
(t) =0},
E
_
det
_
X
(s)
_
det
_
X
(t)
_
1
X
(s)0,X
(t)0
1
E
h
/C
_
C
2
d
h
2(d1)
t s
4
E
_
[Y
(0)]
[Y
(1)]
1
E
h
/C
_
C
2
d
h
2(d1)
t s
4
E
__
Y
(0) +Y
(1)
2
_
2
1
E
h
/C
_
=C
2
d
h
2(d1)
t s
4
E
__
Z
(0) +Z
(1)
2
_
2
1
E
h
/C
_
(const)C
2
d
h
2d
t s
4
.
We now turn to the density in (15) using the following lemma which is similar
to Lemma 4.3, page 76, in Piterbarg (1996a). The proof is omitted.
LEMMA 3.1. For all s, t I ,
t s
d+3
p
X(s),X(t),X
(s),X
(t)
(0, 0, 0, 0) D, (19)
where D is a constant.
Back to the proof of the theorem, to bound the expression in (15) we use
Lemma 3.1 and the bound on the conditional expectation, thus obtaining
E
_
M
uh,u
(M
uh,u
1)1
E
h
_
(const)C
2
d
h
2d
D
_ _
II
t s
d+1
ds dt
_ _
u
uh
dx
1
dx
2
(20)
(const)h
22d
DISTRIBUTION OF THE MAXIMUM 269
since the function (s, t) t s
d+1
is Lebesgueintegrable in I I . The last
constant depends only on the dimension d and the set I . Taking small enough,
(13) follows.
EXAMPLE. Let {X(s, t)} be a realvalued twoparameter Gaussian, centered
stationary isotropic process with covariance . Assume that (0) =1 and that the
spectral measure is absolutely continuous with density (ds, dt) =f () ds dt ,
=(s
2
+t
2
)
1/2
. Assume further that J
k
=
_
+
0
k
f () d < , for 1 k 5.
Our aim is to give an explicit upper bound for the density of the probability
distribution of M
I
where I is the unit disc. Using (9) which is a consequence
of Theorem 3.1 and the invariance of the law of the process, we have
F
I
(u) E
_
1
_
X
(0, 0)
_
/X(0, 0) =u, X
(0, 0) =(0, 0)
_
p
X(0,0),X
(0,0)
_
u, (0, 0)
_
(21)
+2E
_
1
_
(1, 0)
_
/X(1, 0) =u,
X
(1, 0) =0
_
p
X(1,0),
(1,0)
(u, 0)
=I
1
+I
2
.
We denote by X, X
, X
ss
, X
st
, X
tt
the entries of the matrix X
is independent of X and X
st
is independent of X, X
ss
and X
tt
, and has variance
4
J
5
.
Conditionally on X =u, the random variables X
ss
and X
tt
have
expectation: J
3
;
variance:
3
4
J
5
(J
3
)
2
;
covariance:
4
J
5
(J
3
)
2
.
We obtain
I
2
=
_
2
J
3
(u)
__
3
4
J
5
(J
3
)
2
_
1/2
(bu) +J
3
u(bu)
_
,
with b =
J
3
(3/4J
5
(J
3
)
2
)
1/2
. As for I
1
we remark that, conditionally on X = u,
X
ss
+X
tt
and X
ss
X
tt
are independent, so that a direct computation gives
I
1
=
1
8J
3
(u)E
_
(
1
2J
3
u)
2
J
5
4
(
2
2
+
2
3
)1
{
1
<2J
3
u}
(22)
1
{(
1
2J
3
u)
2
J
5
4
(
2
2
+
2
3
)>0}
_
,
270 J.M. AZAS AND M. WSCHEBOR
where
1
,
2
,
3
are standard independent normal random variables and
2
=
2J
5
4
2
J
2
3
. Finally we get
I
1
=
2
8J
3
(u)
_
0
_
(
2
+a
2
c
2
x
2
)(a cx)
+[2a
2
(a cx)](a cx)
_
x(x) dx,
with a =2J
3
u, c =
_
J
5
4
.
4. First derivative, second form. We choose, once for this entire section,
a nite atlas A for I . Then, to every t I it is possible to associate a xed chart
that will be denoted (U
t
,
t
). When t I ,
t
(U
t
) can be chosen to be a half ball
with
t
(t) belonging to the hyperplane limiting this half ball. For t I , let V
t
be
an open neighborhood of t whose closure is included in U
t
and let
t
be a C
(t) =0, If s
1
, . . . , s
m
are pairwise different points of I \ {t},
then the distribution of Z
(2)
(t), . . . , Z
(k)
(t), Z(s
1
), . . . , Z
(k)
(s
1
), . . . , Z
(k)
(s
m
)
does not degenerate.
DISTRIBUTION OF THE MAXIMUM 271
(iii) For t I ; Z(s) := n(t, s)Z(s) can be prolonged as a process of class
C
k
on I with Z(t ) = 0,
Z
(t) = 0, and if s
1
, . . . , s
m
are pairwise different
points of I \ {t}, then the distribution of Z
N
(t), Z
(2)
(t), . . . , Z
(k)
(t ), Z(s
1
), . . . ,
Z
(k)
(s
1
), . . . , Z
(k)
(s
m
) does not degenerate. Z
N
(t) is the derivative normal to the
boundary of I at t .
We use the terms hfunction and hprocess since the function and the paths
of the process need not extend to a continuous function at the point t . However,
the denition implies the existence of radial limits at t . So the process may take
the form of a helix around t .
LEMMA 4.1. Let X be a process satisfying (H
k
, k 2), and let f be a C
k
function I R.
(a) For t
I , set for s I, s =t ,
X(s) =a
t
s
X(t) +b
t
s
, X
b
t
s
,
X
b
t
s
,
f
(t). On L
2
(, P),
let be the projector on the orthogonal complement to the subspace generated by
X(t), X
(t)
+t s
2
_
1
0
X
_
(1 )t +s
_
[v, v](1 ) d,
with v =
st
st
. This implies that
X
t
(s) =
_
t s
2
_
1
0
X
_
(1 )t +s
_
[v, v](1 ) d
_
, (23)
272 J.M. AZAS AND M. WSCHEBOR
which gives the result due to the nondegeneracy condition.
We state now an extension of Ylvisakers (1968) theorem on the regularity of
the distribution of the maximum of a Gaussian process which we will use in the
proof of Theorem 4.2 and which might have some interest in itself.
THEOREM 4.1. Let Z: T R be a Gaussian separable process on some
parameter set T and denote by M
Z
= sup
tT
Z(t) which is (a random variable)
taking values in R{+}. Assume that there exists
0
>0, m
>such that
m(t) =E(Z
t
) m
,
2
(t) =Var(Z
t
)
2
0
for every t T . Then the distribution of the random variable M
Z
is the sum of an
atom at + and apossibly defectiveprobability measure on R which has a
locally bounded density.
PROOF. Suppose rst that X: T R is a Gaussian separable process
satisfying Var(X
t
) = 1, E(X
t
) 0, for every t T . A close look at Ylvisakers
(1968) proof shows that the distribution of the supremum M
X
has a density p
M
X
that satises
p
M
X(u) (u) =
exp(u
2
/2)
_
u
exp(v
2
/2) dv
for every u R. (24)
Let now Z satisfy the hypotheses of the theorem. For given a, b R, a < b,
choose A R
+
so that a <A and consider the process
X(t) =
Z(t) a
(t)
+
m
 +A
0
.
Clearly, for every t T ,
E(X(t)) =
m(t) a
(t)
+
m
 +A
m
 +a
0
+
m
 +A
0
0,
and Var(X(t)) =1. So that (24) holds for the process X.
On the other hand, the statement follows from the inclusion:
{a <M
Z
b}
_
m
 +A
0
<M
X
m
 +A
0
+
b a
0
_
,
which implies
P{a <M
Z
b}
_
(m
+A)/
0
+(ba)/
0
(m
+A)/
0
(u) du
=
_
b
a
1
_
v a +m
 +A
0
_
dv.
(t)) in R R R
d
has a
nondegenerate distribution. Then, the result of Theorem 3.1 is valid, the derivative
F
I
(u) given by relation (10) can be written as
F
I
(u) =(1)
d
_
I
E
_
det
_
X
t
(t)
t
(t)u
_
1
A
u
(X
t
,
t
)
_
p
X(t),X
(t)
(u, 0)(dt)
(25)
+(1)
d1
_
I
E
_
det
_
X
t
(t)
t
(t)
_
u1
A
u
(X
t
,
t
)
_
p
X(t),
(t)
(u, 0) (dt)
and this expression is continuous as a function of u.
The notation
X
t
(t) should be understood in the sense that we rst dene X
t
and then calculate its second derivative along I .
PROOF OF THEOREM 4.2. As a rst step, assume that the process X satises
the hypotheses of Theorem 3.1, which are stronger that those in the present
theorem.
We prove that the rst term in (10) can be rewritten as the rst term in (25).
One can proceed in a similar way with the second term, mutatis mutandis. For that
purpose, use the remark just before the statement of Theorem 4.2 and the fact that
under the condition {X(t) =u, X
(t) =0}, X
(t) is equal to X
t
(t)
t
(t )u.
Replacing in the conditional expectation in (10) and on account of the
Gaussianity of the process, we get rid of the conditioning and obtain the rst term
in (25). We now study the continuity of u F
I
(u). The variable u appears at three
locations:
(i) in the density p
X(t),X
(t)
(u, 0), which is clearly continuous,
274 J.M. AZAS AND M. WSCHEBOR
(ii) in
E
_
det
_
X
t
(t )
t
(t)u
_
1
A
u
(X
t
,
t
)
_
,
where it occurs twice: in the rst factor and in the indicator function.
Due to the integrability of the supremum of bounded Gaussian processes, it is
easy to prove that this expression is continuous as a function of the rst u.
As for the u in the indicator function, set
v
:=det
_
X
t
(t)
t
(t)v
_
(26)
and, for h >0, consider the quantity E[
v
1
A
u
(X
t
,
t
)
] E[
v
1
A
uh
(X
t
,
t
)
], which is
equal to
E
_
v
1
A
u
(X
t
,
t
)\A
uh
(X
t
,
t
)
_
E
_
v
1
A
uh
(X
t
,
t
)\A
u
(X
t
,
t
)
_
. (27)
Apply Schwarzs inequality to the rst term in (27):
E
_
v
1
A
u
(X
t
,
t
)\A
uh
(X
t
,
t
)
_
_
E(
2
v
)P{A
u
(X
t
,
t
) \ A
uh
(X
t
,
t
)}
_
1/2
.
The event A
u
(X
t
,
t
) \ A
uh
(X
t
,
t
) can be described as
s I \ {t} : X
t
(s)
t
(s)u 0; s
0
I \ {t} : X
t
(s
0
)
t
(s
0
)(u h) >0.
This implies that
t
(s
0
) > 0 and that
t
h sup
sI\{t}
X
t
(s)
t
(s)u 0.
Now, observe that our improved version of Ylvisakers theorem (Theorem 4.1)
applies to the process s X
t
(s)
t
(s)u dened on I \ {t}. This implies that
the rst term in (27) tends to zero as h 0. An analogous argument applies to the
second term. Finally, the continuity of F
I
(u) follows from the fact that one can
pass to the limit under the integral sign in (25).
To complete the proof we still have to show that the added hypotheses are in
fact unnecessary for the validity of the conclusion. Suppose now that the process
X satises only the hypotheses of the theorem and dene
X
(t) =Z
(t), Z
(t), Z
(t), X
is to use a C
kernel.
In (28), Y denotes the restriction to I of a Gaussian centered stationary
process satisfying the hypotheses of Proposition 3.1, dened on R
N
, and
independent of X. Clearly X
satises condition (H
k
) for every k, since it
has C
I
=
max
tI
X
(t) and F
I
(u) =P{M
I
u}, one has
F
I
(u) =(1)
d
_
I
E
_
det
_
X
t
(t)
t
(t)u
_
1
A
u
(X
t
,
,t
)
_
p
X
(t),X
(t)
(u, 0)(dt )
(29)
+(1)
d1
_
I
E
_
det
_
X
t
(t)
t
(t)u
_
1
A
u
(X
t
,
t
)
_
p
X
(t),
(t)
(u, 0) (dt ).
We want to pass to the limit as 0 in (29). We prove that the righthand side
is bounded if is small enough and converges to a continuous function of u as
0. Since M
I
M
I
, this implies that the limit is continuous and coincides
with F
I
(u) by a standard argument on convergence of densities. We consider only
the rst term in (29); the second is similar.
The convergence of X
and its rst and second derivative, together with the non
degeneracy hypothesis, imply that uniformly on t I , as 0,
p
X
(t),X
(t)
(u, 0) p
X(t),X
(t)
(u, 0). The same kind of argument can be used for
det( X
t
(t)
t
(t)u), on account of the form of the regression coefcients and
the denitions of X
t
and
t
. The only difculty is to prove that, for xed u,
P{C
C} 0 as 0, (30)
where C
=A
u
(X
t
,
t
), C =A
u
(X
t
,
t
).
We prove that
a.s. 1
C
1
C
as 0, (31)
which implies (30). First of all, note that the event
L =
_
sup
sI\{t}
_
X
t
(s)
t
(s)u
_
=0
_
has zero probability, as already mentioned. Second, from the denition of
X
t
(s) and the hypothesis, it follows that, as 0, X
,t
(s),
,t
(s) converge to
X
t
(s),
t
(s) uniformly on I \ {t}. Now, if / C, there exists s = s() I \ {t }
such that X
t
( s)
t
( s)u > 0 and for > 0 small enough, one has X
t
( s)
t
( s)u >0, which implies that / C
.
On the other hand, let C \ L. This implies that
sup
sI\{t}
_
X
t
(s)
t
(s)u
_
<0.
From the abovementioned uniform convergence, it follows that if > 0 is small
enough, then sup
sI\{t}
(X
t
(s)
t
(s)u) < 0, hence C
. Equation (31)
follows.
276 J.M. AZAS AND M. WSCHEBOR
So, we have proved that the limit as 0 of the rst term in (29) is equal to the
rst term in (25).
It remains only to prove that the rst term in (25) is a continuous function
of u. For this purpose, it sufces to show that the function u P{A
u
(X
t
,
t
)}
is continuous. This is a consequence of the inequality
P{A
u+h
(X
t
,
t
)} P{A
u
(X
t
,
t
)}
P
_
sup
sI\{t}
_
X
t
(s)
t
(s)u
_
h sup
sI\{t}

t
(s)
_
and of Theorem 4.1, applied once again to the process s X
t
(s)
t
(s)u dened
on I \ {t}.
5. Asymptotic expansion of F
(u) is equivalent to
u
d
(2)
(d+1)/2
e
u
2
/2
_
I
_
det((t))
_
1/2
dt, (32)
where (t) is the variancecovariance matrix of X
(t).
Note that (32) is in fact the derivative of the bound for the distribution function
that can be obtained by Rices method [Azas and Delmas (2002)] or by the
expected Euler characteristic method [Taylor, Takemura and Adler (2004)].
PROOF OF COROLLARY 5.1. Set r(s, t) :=E(X(s), X(t)), and for i, j =1, d,
r
i;
(s, t) :=
s
i
r(s, t),
r
ij;
(s, t) :=
2
s
i
s
j
r(s, t), r
i;j
(s, t) :=
2
s
i
t
j
r(s, t).
For every t, i and j, r
i;
(t, t) = 0,
ij
(t) = r
i;j
(t, t) = r
ij;
(t, t). Thus X(t )
and X
t
(s) >0. This shows that for every t I one has inf
sI
t
(s) >0. Since for every
t I the process X
t
is bounded, it follows that a.s. 1
A
u
(X
t
,
t
)
1 as u +.
Also
det
_
X
t
(t)
t
(t)u
_
(1)
d
det((t))u
d
.
DISTRIBUTION OF THE MAXIMUM 277
Dominated convergence shows that the rst term in (25) is equivalent to
_
I
u
d
det(
t
)(2)
1/2
e
u
2
/2
(2)
d/2
_
det(
t
)
_
1/2
dt
=
u
d
(2)
(d+1)/2
e
u
2
/2
_
I
_
det(
t
)
_
1/2
dt.
The same kind of argument shows that the second term is O(u
d1
e
u
2
/2
), which
completes the proof.
Acknowledgment. We thank an anonymous referee for very carefully reading
the rst version of this work and for very valuable suggestions.
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LABORATOIRE DE STATISTIQUE
ET PROBABILITS
UMRCNRS C5583
UNIVERSIT PAUL SABATIER
118 ROUTE DE NARBONNE
31062 TOULOUSE CEDEX 4
FRANCE
EMAIL: azais@cict.fr
CENTRO DE MATEMTICA
FACULTAD DE CIENCIAS
UNIVERSIDAD DE LA REPBLICA
CALLE IGUA 4225
11400 MONTEVIDEO
URUGUAY
EMAIL: wscheb@fcien.edu.uy