Extremes and first passage times of correlated fBm's (1309.4981v2)

Abstract: Let ${X_i(t),t\ge0}, i=1,2$ be two standard fractional Brownian motions being jointly Gaussian with constant cross-correlation. In this paper we derive the exact asymptotics of the joint survival function $$ \mathbb{P}{\sup_{s\in[0,1]}X_1(s)>u,\ \sup_{t\in[0,1]}X_2(t)>u} $$ as $u\rightarrow \infty$. A novel finding of this contribution is the exponential approximation of the joint conditional first passage times of $X_1, X_2$. As a by-product we obtain generalizations of the Borell-TIS inequality and the Piterbarg inequality for 2-dimensional Gaussian random fields.