Probability of entering an orthant by correlated fractional Brownian motion with drift: exact asymptotics
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For { B H ( t ) = ( B H , 1 ( t ) , … , B H , d ( t ) ) ⊤ , t ≥ 0 } , where { B H , i ( t ) , t ≥ 0 } , 1 ≤ i ≤ d are mutually independent fractional Brownian motions, we obtain the exact asymptotics of P ( ∃ t &#... ...
