Estimates of the Exit Probability for Two Correlated Brownian Motions
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Publication:4915649
DOI10.1239/aap/1363354102zbMath1262.60082OpenAlexW2050554859MaRDI QIDQ4915649
Publication date: 11 April 2013
Published in: Unnamed Author (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aap/1363354102
Related Items (4)
Extremes and First Passage Times of Correlated Fractional Brownian Motions ⋮ A structure-preserving method for the distribution of the first hitting time to a moving boundary for some Gaussian processes ⋮ First passage times of two-dimensional correlated processes: analytical results for the Wiener process and a numerical method for diffusion processes ⋮ Exact asymptotics of component-wise extrema of two-dimensional Brownian motion
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