The correlation of the maxima of correlated Brownian motions
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Cites work
- A Guided Tour through Excursions
- Brownian motion in a wedge with oblique reflection
- Estimating correlation from high, low, opening and closing prices
- scientific article; zbMATH DE number 1817636 (Why is no real title available?)
- scientific article; zbMATH DE number 3425963 (Why is no real title available?)
- scientific article; zbMATH DE number 819734 (Why is no real title available?)
- scientific article; zbMATH DE number 3412061 (Why is no real title available?)
Cited in
(14)- Brownian motion correlation in the peanosphere for \(\kappa>8\)
- Exact asymptotics of component-wise extrema of two-dimensional Brownian motion
- On correlated defaults and incomplete information
- Pairwise near-maximal grand coupling of Brownian motions
- Tail correlation functions of max-stable processes
- Estimating correlation from high, low, opening and closing prices
- 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
- scientific article; zbMATH DE number 1462255 (Why is no real title available?)
- Correlation estimation using components of Japanese candlesticks
- Convex hulls of random walks and their scaling limits
- Finite-time ruin probability for correlated Brownian motions
- On the Brownian range and the Brownian reversal
- Bounds on the size of the convex hull of planar Brownian motion and related inverse processes
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