Extremal behavior of hitting a cone by correlated Brownian motion with drift (Q1630665)
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scientific article; zbMATH DE number 6991421
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| English | Extremal behavior of hitting a cone by correlated Brownian motion with drift |
scientific article; zbMATH DE number 6991421 |
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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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0.89236516
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0.88523924
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0.8597431
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0.8577663
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0.8569832
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0.8546869
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