A central limit theorem for extreme sojourns of diffusion processes

DOI10.1080/07362999308809324MaRDI QIDQ4273022zbMATH OpenOpenAlexFDO

Authors Simeon M. Berman

Publication date 30 January 1994

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362999308809324

zbMATH Keywords

central limit theoremcompound Poisson distributiondiffusion processextreme sojournsstationary probability measure

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Diffusion processes (60J60)

Recommendations

• scientific article; zbMATH DE number 4109732
• Central limit theorems for extreme Sojourns of stationary Gaussian processes
• Limit theorems for transient diffusions on the line
• Extreme sojourns of diffusion processes
• scientific article; zbMATH DE number 1995703

Cites work

• A compound Poisson limit for stationary sums, and sojourns of Gaussian processes
• Extreme sojourns of diffusion processes
• High level sojourns of a diffusion process on a long interval
• scientific article; zbMATH DE number 3718235 (Why is no real title available?)
• scientific article; zbMATH DE number 3383329 (Why is no real title available?)
• Sojourns and extremes of a diffusion process on a fixed interval
• The First Passage Problem for a Continuous Markov Process

Cited in

(12)

• A central limit theorem for diffusions with periodic coefficients
• Extreme sojourns of diffusion processes
• A class of limit theorems for singular diffusions
• A central limit theorem for normalized functions of the increments of a diffusion process, in the presence of round-off errors
• On the extreme-value theory for stationary diffusions under power normalization
• Limiting distribution of the maximum of a null recurrent diffusion process
• Sojourns and extremes of a stochastic process defined as a random linear combination of arbitrary functions
• scientific article; zbMATH DE number 16740 (Why is no real title available?)
• scientific article; zbMATH DE number 1995703 (Why is no real title available?)
• scientific article; zbMATH DE number 844371 (Why is no real title available?)
• Extreme value statistics of positive recurrent centrally biased random walks
• In the folds of the central limit theorem: Lévy walks, large deviations and higher-order anomalous diffusion

This page was built for publication: A central limit theorem for extreme sojourns of diffusion processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4273022)