On the joint distribution of the maximum and its location for a linear diffusion

zbMath0621.60081MaRDI QIDQ1090006

Paavo H. Salminen, Antónia Földes, Endre Csáki

Publication date: 1987

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AIHPB_1987__23_2_179_0

zbMATH Keywords

exponential timediffusion representation of Brownian local timehitting-time densities

Mathematics Subject Classification ID

Diffusion processes (60J60) Local time and additive functionals (60J55)

Related Items (20)

Large finite population queueing systems: The single-server model ⋮ Elastic drifted Brownian motions and non-local boundary conditions ⋮ PDE for the joint law of the pair of a continuous diffusion and its running maximum ⋮ Three-dimensional Brownian motion and the golden ratio rule ⋮ Volterra integral equations of the first kind and applications to linear diffusions ⋮ A diffusion-type process with a given joint law for the terminal level and supremum at an independent exponential time ⋮ Favourite sites of transient Brownian motion ⋮ Distributions of the location of maximuma and minimuma for diffusions with jumps ⋮ Analysis and rejection sampling of Wright-Fisher diffusion bridges ⋮ Dynamic analysis of some relational databases parameters ⋮ On the minimum of a conditioned Brownian bridge ⋮ On an integral equation for the free-boundary of stochastic, irreversible investment problems ⋮ A point process associated with local maxima of Brownian motion ⋮ Distributions of functionals of diffusions with jumps stopped at the location of the maximum or minimum ⋮ A one-dimensional optimization algorithm and its convergence rate under the Wiener measure ⋮ Time and place of the maximum for one-dimensional diffusion bridges and meanders ⋮ Irreversible investment under Lévy uncertainty: an equation for the optimal boundary ⋮ Un théorème de Ray-Knight lié au supremum des temps locaux browniens. (A Ray-Knight theorem related to suprema of Brownian local times) ⋮ On the local time process of a skew Brownian motion ⋮ Trie size in a dynamic list structure

This page was built for publication: On the joint distribution of the maximum and its location for a linear diffusion