Exact asymptotics of component-wise extrema of two-dimensional Brownian motion
From MaRDI portal
Publication:2027089
DOI10.1007/s10687-020-00387-yzbMath1468.60100arXiv2003.02954OpenAlexW3094214221MaRDI QIDQ2027089
Tomasz Rolski, Krzysztof Dȩbicki, Lanpeng Ji
Publication date: 21 May 2021
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2003.02954
quadratic programming problemexact asymptoticstwo-dimensional Brownian motioncomponent-wise extremageneralised Pickands-Piterbarg constants
Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Brownian motion (60J65)
Related Items
Exact asymptotics of Gaussian-driven tandem queues ⋮ Extrema of multi-dimensional Gaussian processes over random intervals ⋮ Tail asymptotics for the delay in a Brownian fork-join queue ⋮ Extreme value theory for a sequence of suprema of a class of Gaussian processes with trend ⋮ Cumulative Parisian ruin probability for two-dimensional Brownian risk model ⋮ Finite-time ruin probability for correlated Brownian motions ⋮ Running supremum of Brownian motion in dimension 2: exact and asymptotic results
Cites Work
- Unnamed Item
- Unnamed Item
- High extrema of Gaussian chaos processes
- Extremes of multidimensional Gaussian processes
- Extremal behavior of hitting a cone by correlated Brownian motion with drift
- Asymptotics and bounds for multivariate Gaussian tails
- Extremes of vector-valued Gaussian processes
- On the first passage problem for correlated Brownian motion
- Large deviations of bivariate Gaussian extrema
- Tandem Brownian queues
- Double Lookbacks
- First-passage times of two-dimensional Brownian motion
- Extremes and First Passage Times of Correlated Fractional Brownian Motions
- Simultaneous ruin probability for two-dimensional brownian risk model
- Large Deviations for Gaussian Queues
- Level Sets and Extrema of Random Processes and Fields
- Double boundary crossing result for the brownian motion
- Extremes ofγ-reflected Gaussian processes with stationary increments
- Estimates of the Exit Probability for Two Correlated Brownian Motions
- Random Fields and Geometry
- A Multivariate Exponential Distribution
- The correlation of the maxima of correlated Brownian motions
