Probability of entering an orthant by correlated fractional Brownian motion with drift: exact asymptotics

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Serval ID
serval:BIB_6331F66077F7
Type
Article: article from journal or magazin.
Collection
Publications
Institution
UNIL/CHUV
Title
Probability of entering an orthant by correlated fractional Brownian motion with drift: exact asymptotics
Journal
Extremes
Author(s)
Dȩbicki Krzysztof, Ji Lanpeng, Novikov Svyatoslav
ISSN
1386-1999
1572-915X
Publication state
Published
Issued date
12/2024
Peer-reviewed
Oui
Volume
27
Number
4
Pages
613-641
Language
english
OAI-PMH
oai:serval.unil.ch:BIB_6331F66077F7
DOI
10.1007/s10687-024-00489-x
Web of science
001303240700001
Open Access
Yes
Funding(s)
Swiss National Science Foundation / 200021-196888
Create date
01/09/2024 17:20
Last modification date
01/11/2024 14:02
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