Extremal behavior of hitting a cone by correlated Brownian motion with drift (Q1630665): Difference between revisions

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Latest revision as of 14:55, 17 July 2024

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Extremal behavior of hitting a cone by correlated Brownian motion with drift
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    Extremal behavior of hitting a cone by correlated Brownian motion with drift (English)
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    10 December 2018
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    multidimensional Brownian motion
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    extremes
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    exact asymptotics
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    first passage time
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    large deviations
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    quadratic programming problem
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    multidimensional Pickands constants
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