Sojourns and extremes of a diffusion process on a fixed interval

DOI10.2307/1427025zbMath0494.60076OpenAlexW2044889830MaRDI QIDQ3957744

Simeon M. Berman

Publication date: 1982

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1427025

zbMATH Keywords

maximum valuesojourn timelimit distribution

Mathematics Subject Classification ID

Gaussian processes (60G15) Stationary stochastic processes (60G10) Diffusion processes (60J60)

Related Items (13)

The supremum of a process with stationary independent and symmetric increments ⋮ A central limit theorem for extreme sojourns of diffusion processes ⋮ Local precise large and moderate deviations for sums of independent random variables ⋮ Asymptotic properties of absolutely continuous functions and strong laws of large numbers for renewal processes ⋮ Extrema of a Gaussian random field: Berman's sojourn time method ⋮ Unnamed Item ⋮ Strong asymptotic equivalence and inversion of functions in the class \(K_c\) ⋮ Limit laws for Brownian motion conditioned to reach a high level ⋮ A theorem of Galambos-Bojanić-Seneta type ⋮ On preserving the limit points of corresponding objects ⋮ High level sojourns of a diffusion process on a long interval ⋮ Extremes of diffusions over fixed intervals ⋮ Subexponentiality of the product of independent random variables

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