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

Dębicki, K., Ji, L. orcid.org/0000-0002-7790-7765 and Novikov, S. (2024) Probability of entering an orthant by correlated fractional Brownian motion with drift: Exact asymptotics. Extremes. ISSN 1386-1999

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Item Type: Article
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© The Author(s) 2024. This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article’s Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article’s Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/ licenses/by/4.0/.

Keywords: Multi-dimensional fractional Brownian motion, Extremes, Exact asymptotics, Large deviations, Quadratic programming problem, Dimension reduction
Dates:
  • Published (online): 29 August 2024
  • Accepted: 5 July 2024
Institution: The University of Leeds
Academic Units: The University of Leeds > Faculty of Engineering & Physical Sciences (Leeds) > School of Mathematics (Leeds) > Statistics (Leeds)
Depositing User: Symplectic Publications
Date Deposited: 18 Jul 2024 15:47
Last Modified: 04 Sep 2024 13:51
Published Version: https://link.springer.com/article/10.1007/s10687-0...
Status: Published online
Publisher: Springer
Identification Number: 10.1007/s10687-024-00489-x
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