Tail asymptotics for Shepp-statistics of Brownian motion in Double-struck capital R-d

Korshunov, D; Wang, LM

Korshunov, D (corresponding author), Univ Lancaster, Dept Math & Stat, Lancaster, England.

EXTREMES, 2020; 23 (1): 35

Abstract

Let X(t), t. R, be a d-dimensional vector-valued Brownian motion, d = 1. For all b. Rd \ (-8, 0] d we derive exact asymptotics of P{X(t + s) - X(t) &g......

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