Running supremum of Brownian motion in dimension 2: exact and asymptotic results

DOI10.1080/15326349.2021.1982395MaRDI QIDQ5030981zbMATH OpenOpenAlexFDO

Authors Krzysztof Kȩpczyński

Publication date 18 February 2022

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2010.07550

zbMATH Keywords

Brownian motionexact asymptoticsexact distributionhigh-threshold asymptoticsmany-source asymptoticsrunning supremum

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Brownian motion (60J65)

Abstract: This paper investigates $p{i}_T(a_1,a_2)=mathbbPleft(suplimit{s}_{tin[0,T]}(sigm{a}_{1}B(t)-c_{1}t)>a_1,suplimit{s}_{tin[0,T]}(sigm{a}_{2}B(t)-c_{2}t)>a_{2}ight),$ where $B(t):tgeq0$ is a standard Brownian motion, with $T>0,sigm{a}_1,sigm{a}_2>0,c_1,c_{2}inmathbbR.$ We derive explicit formula for the probability $p{i}_{T}left(a_1,a_{2}ight)$ and find its asymptotic behavior both in the so called many-source and high-threshold regimes.

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Cited in

(2)

• Exact asymptotics of component-wise extrema of two-dimensional Brownian motion
• Tail asymptotics for Shepp-statistics of Brownian motion in \(\mathbb{R}^d \)

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