Extremes and First Passage Times of Correlated Fractional Brownian Motions
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Publication:3191880
DOI10.1080/15326349.2014.903159zbMath1319.60081arXiv1309.4981OpenAlexW2059177704MaRDI QIDQ3191880
Publication date: 25 September 2014
Published in: Stochastic Models (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1309.4981
fractional Brownian motionfirst passage timesextremesGaussian random fieldsBorell-TIS inequalityPiterbarg inequality
Random fields (60G60) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Extreme value theory; extremal stochastic processes (60G70)
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