  For a non-negative separable random field $Z(t), t\in \mathbb{R}^d$
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 $0
\mathbb{Z}^d := \mathbb{R}^d$ and prove that $H_Z^0$ can be approximated by
$H_Z^\delta$ if $\delta$ tends to 0. These results extend the classical
findings for the Pickands constants $H_{Z}^\delta$, 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 $H_{Z}^\delta$ at $\delta=0$ is additionally shown for two
particular extensions of Pickands constants.

Probability