Extremal behavior of hitting a cone by correlated Brownian motion with drift
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Publication:1630665
DOI10.1016/j.spa.2018.02.002zbMath1417.60028arXiv1610.09387OpenAlexW2756392889MaRDI QIDQ1630665
Enkelejd Hashorva, Tomasz Rolski, Krzysztof Dȩbicki, Lanpeng Ji
Publication date: 10 December 2018
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1610.09387
large deviationsfirst passage timequadratic programming problemextremesexact asymptoticsmultidimensional Brownian motionmultidimensional Pickands constants
Related Items (13)
Pandemic-type failures in multivariate Brownian risk models ⋮ Extremes of vector-valued Gaussian processes with trend ⋮ Pickands-Piterbarg constants for self-similar Gaussian processes ⋮ Asymptotics of multivariate conditional risk measures for Gaussian risks ⋮ Extremes of vector-valued Gaussian processes ⋮ Approximation of ruin probability and ruin time in discrete Brownian risk models ⋮ On the cumulative Parisian ruin of multi-dimensional Brownian motion risk models ⋮ Simultaneous ruin probability for two-dimensional brownian risk model ⋮ Approximation of some multivariate risk measures for Gaussian risks ⋮ Exact asymptotics of component-wise extrema of two-dimensional Brownian motion ⋮ Large deviations of bivariate Gaussian extrema ⋮ Tail asymptotics for Shepp-statistics of Brownian motion in \(\mathbb{R}^d \) ⋮ Finite-time ruin probability for correlated Brownian motions
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