Extremes and First Passage Times of Correlated Fractional Brownian Motions

DOI10.1080/15326349.2014.903159zbMath1319.60081arXiv1309.4981OpenAlexW2059177704MaRDI QIDQ3191880

Lanpeng Ji, Enkelejd Hashorva

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

zbMATH Keywords

fractional Brownian motionfirst passage timesextremesGaussian random fieldsBorell-TIS inequalityPiterbarg inequality

Mathematics Subject Classification ID

Random fields (60G60) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Extreme value theory; extremal stochastic processes (60G70)

Related Items (6)

Parisian ruin of self-similar Gaussian risk processes ⋮ Asymptotic expansions for bivariate normal extremes ⋮ Basis risk management and randomly scaled uncertainty ⋮ Extremes of vector-valued Gaussian processes: exact asymptotics ⋮ Exact asymptotics of component-wise extrema of two-dimensional Brownian motion ⋮ Piterbarg's max-discretization theorem for stationary vector Gaussian processes observed on different grids

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