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

Extremes (Boston)

Department of Actuarial Science, University of Lausanne, UNIL-Dorigny, 1015 Lausanne, Switzerland.

Published: August 2024

For , where are mutually independent fractional Brownian motions, we obtain the exact asymptotics of where is a non-singular matrix and , are such that there exists some such that

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http://www.ncbi.nlm.nih.gov/pmc/articles/PMC11525300PMC
http://dx.doi.org/10.1007/s10687-024-00489-xDOI Listing

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