On the continuity of Pickands constants

Abstract: For a non-negative separable random field $Z(t), t\in \mathbb{R}<sup>d$ satisfying some mild assumptions we show that \begin{eqnarray*} H_Z^\delta = \lim_{T\to\infty} \frac{1}{T^d} E {\sup_{ t\in [0,T]^d \cap \delta \mathbb{Z}^d } Z(t) } <\infty \end{eqnarray*} for $\delta \ge 0$ where $0 \mathbb{Z}^d := \mathbb{R}<sup>d$ and prove that $H_Z<sup>0$ can be approximated by $H_Z<sup>\delta$ if $\delta$ tends to 0. These results extend the classical findings for the Pickands constants $H_{Z}<sup>\delta$, defined for $$Z(t)= \exp\left( \sqrt{ 2} B_\alpha (t)- |t|^{2\alpha }\right), t\in \mathbb{R}$$ with $B_\alpha$ a standard fractional Brownian motion with Hurst parameter $\alpha \in (0,1]$. The continuity of $H_{Z}<sup>\delta$ at $\delta=0$ is additionally shown for two particular extensions of Pickands constants.