Probability of entering an orthant by correlated fractional Brownian motion with drift: exact asymptotics

DOI10.1007/s10687-024-00489-xMaRDI QIDQ6635939

Lanpeng Ji, Svyatoslav Novikov, Krzysztof Dȩbicki

Publication date: 12 November 2024

Published in: Extremes (Search for Journal in Brave)

zbMATH Keywords

asymptoticsfractional Brownian motionextremesorthant

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Extreme value theory; extremal stochastic processes (60G70)

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