Some remarks on the maximum of a one-dimensional diffusion process

• Autorzy: Abundo M.
• Języki publikacji: EN

Abstrakty

EN

For a certain class of one-dimensional diffusions X(t); we study the distribution of max_tЄ[0;T] X(t) and the distribution of the first instant at whichX(t) attains the maximum by reducingX(t) to Brownian motion. Moreover, for T fixed or random, we study the asymptotics of threshold crossing probability, i.e. the rate of decay of P(max_{sЄ[0;T ]} X(s) > z ) as z goes to infinity. Some examples are also reported.

Słowa kluczowe

EN

diffusion process; Brownian motion; firstcrossing time; random time-change

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2008
• Tom: Vol. 28, Fasc. 1
• Strony: 107--120
• Opis fizyczny: Bibliogr. 23 poz.

Twórcy

autor

Abundo M.

• Dipartimento di Matematica, Università Tor Vergata, via della Ricerca Scientifica, 00133 Roma, Italy

Bibliografia

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