Extremal behavior of hitting a cone by correlated Brownian motion with drift

  title={Extremal behavior of hitting a cone by correlated Brownian motion with drift},
  author={Krzysztof Dȩbicki and Enkelejd Hashorva and Lanpeng Ji and Tomasz Rolski},
  journal={Stochastic Processes and their Applications},

On the cumulative Parisian ruin of multi-dimensional Brownian motion risk models

  • L. Ji
  • Mathematics
    Scandinavian Actuarial Journal
  • 2020
Consider a multi-dimensional Brownian motion which models the surplus processes of multiple lines of business of an insurance company. Our main result gives exact asymptotics for the cumulative

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The exact asymptotic of the collision time tail distribution for independent Brownian particles with different drifts

In this note we consider the time of the collision τ for n independent Brownian motions X1t,...,Xtn with drifts a1,...,an, each starting from x = (x1,...,xn), where x1 < ... < xn. We show the exact

Probability of Brownian Motion Hitting an Obstacle

It is shown that p(x) is expressible in terms of the field U (x) scattered by $\Omega$ when it is hit by a plane wave, and results for U(x), and methods for finding U( x), can be used to determine p( x).

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Let X = {X(p), p ∈ M} be a centered Gaussian random field, where M is a smooth Riemannian manifold. For a suitable compact subset D⊂M$D\subset M$, we obtain approximations to the excursion