Running supremum of Brownian motion in dimension 2: exact and asymptotic results
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Publication:5030981
DOI10.1080/15326349.2021.1982395zbMath1490.60225arXiv2010.07550OpenAlexW3206764808MaRDI QIDQ5030981
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
Brownian motionexact distributionrunning supremumexact asymptoticshigh-threshold asymptoticsmany-source asymptotics
Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Brownian motion (60J65)
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