LOWER TAIL INDEPENDENCE OF HITTING TIMES OF TWO-DIMENSIONAL DIFFUSIONS

DOI10.1017/S0269964817000353MaRDI QIDQ5050854zbMATH OpenOpenAlexFDO

Authors

Publication date 18 November 2022

Published in Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0269964817000353

zbMATH Keywords

hitting timeslarge deviationsSchilder's theoremsmall time

Mathematics Subject Classification ID

Large deviations (60F10) Diffusion processes (60J60)

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Cites work

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Cited in

(2)

• Tail dependence functions of the bivariate Hüsler-Reiss model
• Invariance properties in the dynamic Gaussian copula model

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