The correlation of the maxima of correlated Brownian motions

DOI10.1239/JAP/1158784954zbMATH1120.60074OpenAlexW1977404606MaRDI QIDQ5754697FDOQ5754697

Authors L. C. G. Rogers, Larry Shepp

Publication date 23 August 2007

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1158784954

zbMATH Keywords

correlationBrownian motionKantorovich-Lebedev transform

Mathematics Subject Classification ID

Brownian motion (60J65)

Cites work

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• A Guided Tour through Excursions
• Brownian motion in a wedge with oblique reflection
• Estimating correlation from high, low, opening and closing prices

Cited in

(12)

• Tail correlation functions of max-stable processes
• Convex hulls of random walks and their scaling limits
• Pairwise near-maximal grand coupling of Brownian motions
• scientific article; zbMATH DE number 1462255 (Why is no real title available?)
• Brownian motion correlation in the peanosphere for \(\kappa>8\)
• Estimating correlation from high, low, opening and closing prices
• Exact asymptotics of component-wise extrema of two-dimensional Brownian motion
• On correlated defaults and incomplete information
• Finite-time ruin probability for correlated Brownian motions
• On the conditional correlation function of Lévy's Brownian motion
• On the distribution of the maximum of brownian bridges with application to regression with correlated errors
• Correlation estimation using components of Japanese candlesticks

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