On the Dependence Structure of Certain Multi-dimensional Ito Processes and Corresponding Hitting Times
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- Ebrahimi, N., 1994. "On the Dependence of Structure of Multivariate Processes and Corresponding Hitting Times," Journal of Multivariate Analysis, Elsevier, vol. 50(1), pages 55-67, July.
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Cited by:
- Nicole Bäuerle & Anja Blatter & Alfred Müller, 2008. "Dependence properties and comparison results for Lévy processes," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 67(1), pages 161-186, February.
- Bäuerle Nicole & Schmock Uwe, 2012. "Dependence properties of dynamic credit risk models," Statistics & Risk Modeling, De Gruyter, vol. 29(3), pages 243-268, August.
- Dan Zhu & Ming Zhou & Chuancun Yin, 2023. "Finite-Time Ruin Probabilities of Bidimensional Risk Models with Correlated Brownian Motions," Mathematics, MDPI, vol. 11(12), pages 1-18, June.
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multi-dimensional Ito processes hitting times PQD associated;Statistics
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