Probability of entering an orthant by correlated fractional Brownian motion with drift: Exact asymptotics

Krzysztof Debicki, Lanpeng Ji, Svyatoslav Novikov

For $\{B_H(t)=(B_{H,1}(t),\dots ,B_{H,d}(t){)}^{\top },t\ge 0\}$, where $\{B_{H,i}(t),t\ge 0\},1\le i\le d$ are mutually independent fractional Brownian motions, we obtain the exact…