A note on the distribution of multivariate Brownian extrema

DOI10.1155/2014/575270zbMath1325.60079WikidataQ59047032 ScholiaQ59047032MaRDI QIDQ2019190

Yanyan Li

Publication date: 27 March 2015

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/575270

zbMATH Keywords

method of images; mathematical finance; correlation matrices; multidimensional Wiener process; multivariate Brownian extrema

Mathematics Subject Classification ID

60G70: Extreme value theory; extremal stochastic processes

60J65: Brownian motion

91G80: Financial applications of other theories

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