The correlation of the maxima of correlated Brownian motions

DOI10.1239/JAP/1158784954zbMATH Open1120.60074OpenAlexW1977404606MaRDI QIDQ5754697FDOQ5754697

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

• Brownian motion in a wedge with oblique reflection
• A Guided Tour through Excursions
• Estimating correlation from high, low, opening and closing prices
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Cited In (12)

• Correlation estimation using components of Japanese candlesticks
• On the distribution of the maximum of brownian bridges with application to regression with correlated errors
• Exact asymptotics of component-wise extrema of two-dimensional Brownian motion
• On correlated defaults and incomplete information
• On the conditional correlation function of Lévy's Brownian motion
• Title not available (Why is that?)
• Pairwise near-maximal grand coupling of Brownian motions
• Finite-time ruin probability for correlated Brownian motions
• Brownian motion correlation in the peanosphere for \(\kappa>8\)
• Convex hulls of random walks and their scaling limits
• Tail correlation functions of max-stable processes
• Estimating correlation from high, low, opening and closing prices

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