{"title":"关于多元布朗极值分布的注记","authors":"M. Escobar, J. Hernández","doi":"10.1155/2014/575270","DOIUrl":null,"url":null,"abstract":"This paper presents a closed-form solution for the joint probability of the endpoints and minimums of a multidimensional Wiener process for some correlation matrices. This is the only explicit expressions found in the literature for this joint probability. The analysis can only be carried out for special correlation structures as it is related to the fundamentals regions of irreducible spherical simplexes generated by \nreflections and the link to the method of images. This joint distribution can be used in financial mathematics to obtain prices of credit or market related products in high dimension. The solution could be generalized to account for stochastic volatility and other stylized features of the financial markets.","PeriodicalId":196477,"journal":{"name":"International Journal of Stochastic Analysis","volume":"29 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2014-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"4","resultStr":"{\"title\":\"A Note on the Distribution of Multivariate Brownian Extrema\",\"authors\":\"M. Escobar, J. Hernández\",\"doi\":\"10.1155/2014/575270\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper presents a closed-form solution for the joint probability of the endpoints and minimums of a multidimensional Wiener process for some correlation matrices. This is the only explicit expressions found in the literature for this joint probability. The analysis can only be carried out for special correlation structures as it is related to the fundamentals regions of irreducible spherical simplexes generated by \\nreflections and the link to the method of images. This joint distribution can be used in financial mathematics to obtain prices of credit or market related products in high dimension. The solution could be generalized to account for stochastic volatility and other stylized features of the financial markets.\",\"PeriodicalId\":196477,\"journal\":{\"name\":\"International Journal of Stochastic Analysis\",\"volume\":\"29 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2014-11-16\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"4\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Journal of Stochastic Analysis\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1155/2014/575270\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Stochastic Analysis","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1155/2014/575270","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
A Note on the Distribution of Multivariate Brownian Extrema
This paper presents a closed-form solution for the joint probability of the endpoints and minimums of a multidimensional Wiener process for some correlation matrices. This is the only explicit expressions found in the literature for this joint probability. The analysis can only be carried out for special correlation structures as it is related to the fundamentals regions of irreducible spherical simplexes generated by
reflections and the link to the method of images. This joint distribution can be used in financial mathematics to obtain prices of credit or market related products in high dimension. The solution could be generalized to account for stochastic volatility and other stylized features of the financial markets.
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号
