The correlation of the maxima of correlated Brownian motions

DOI10.1239/jap/1158784954zbMath1120.60074OpenAlexW1977404606MaRDI QIDQ5754697

L. C. G. Rogers, Lawrence A. Shepp

Publication date: 23 August 2007

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1158784954

zbMATH Keywords

correlationBrownian motionKantorovich-Lebedev transform

Mathematics Subject Classification ID

Brownian motion (60J65)

Related Items (6)

Correlation estimation using components of Japanese candlesticks ⋮ Estimating correlation from high, low, opening and closing prices ⋮ Convex hulls of random walks and their scaling limits ⋮ Exact asymptotics of component-wise extrema of two-dimensional Brownian motion ⋮ On correlated defaults and incomplete information ⋮ Finite-time ruin probability for correlated Brownian motions

Cites Work

• Estimating correlation from high, low, opening and closing prices
• A Guided Tour through Excursions
• Brownian motion in a wedge with oblique reflection
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