Tail asymptotics for Shepp-statistics of Brownian motion in \(\mathbb{R}^d \)
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Publication:2303023
DOI10.1007/s10687-019-00357-zzbMath1457.60077OpenAlexW2967536307MaRDI QIDQ2303023
Longmin Wang, Dmitrii Korshunov
Publication date: 28 February 2020
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10687-019-00357-z
Markov propertyquadratic programming problemuniform double-sum methodhigh level excursion probabilityShepp-statisticsvector-valued Brownian motion
Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Brownian motion (60J65)
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