A note on the distribution of multivariate Brownian extrema

DOI10.1155/2014/575270zbMath1325.60079OpenAlexW2076868189WikidataQ59047032 ScholiaQ59047032MaRDI QIDQ2019190

Yanyan Li

Publication date: 27 March 2015

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/575270

zbMATH Keywords

method of imagesmathematical financecorrelation matricesmultidimensional Wiener processmultivariate Brownian extrema

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Brownian motion (60J65) Financial applications of other theories (91G80)

Related Items (3)

Modelling net carrying amount of shares for market consistent valuation of life insurance liabilities ⋮ Asymptotics and approximations of ruin probabilities for multivariate risk processes in a Markovian environment ⋮ Joint law of an Ornstein–Uhlenbeck process and its supremum

Cites Work

• The Fokker-Planck equation. Methods of solution and applications.
• On the first passage problem for correlated Brownian motion
• Introduction to stochastic calculus for finance. A new didactic approach.
• Double Lookbacks
• The method of images and the solution of certain partial differential equations
• On the Transformation of Diffusion Processes into the Wiener Process
• Unstructured meshing for two asset barrier options
• Closed-Form Pricing of Two-Asset Barrier Options with Stochastic Covariance
• Three dimensional distribution of Brownian motion extrema
• Applied Semi-Markov Processes
• The scope of the image method
• Unnamed Item

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