Extremes of diffusions over fixed intervals

J. M. P. Albin

Stochastic Processes and their Applications, 1993, vol. 48, issue 2, 211-235

Abstract: Let X(t) be a one-dimensional diffusion process. We give conditions under which P{sup0[less-than-or-equals, slant]t[less-than-or-equals, slant]hX(t) > u} [approximate] const. x P{X(h) > u} as u --> [infinity].

Keywords: extrema; diffusion; Brownian; motion; branching; diffusion; Bessel; process; Ornstein-Uhlenbeck; process (search for similar items in EconPapers)
Date: 1993
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