Mathematics – Probability
Scientific paper
2010-07-02
Mathematics
Probability
18 pages
Scientific paper
Let $\{\xi_n, n\in\Z^d\}$ be a $d$-dimensional array of i.i.d. Gaussian random variables and define $\SSS(A)=\sum_{n\in A} \xi_n$, where $A$ is a finite subset of $\Z^d$. We prove that the appropriately normalized maximum of $\SSS(A)/\sqrt{|A|}$, where $A$ ranges over all discrete cubes or rectangles contained in $\{1,\ldots,n\}^d$, converges in the weak sense to the Gumbel extreme-value distribution as $n\to\infty$. We also prove continuous-time counterparts of these results.
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