Distributions of the location of maximuma and minimuma for diffusions with jumps

DOI10.1007/S10958-010-9933-XMaRDI QIDQ2452615zbMATH OpenOpenAlexFDO

Authors A. N. Borodin

Publication date 4 June 2014

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10958-010-9933-x

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70)

Recommendations

• Distributions of functionals of diffusions with jumps stopped at the location of the maximum or minimum
• Distributions of functionals of diffusions with jumps, stopped at random times
• Distribution of functionals of some processes with independent increments
• On the first exit time from an interval for diffusions with jumps
• scientific article; zbMATH DE number 5029465

Cites work

• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• Distribution of functionals of some processes with independent increments
• Distributions of functionals of bridges of diffusions with jumps
• Distributions of functionals of diffusions with jumps
• On the first exit time from an interval for diffusions with jumps
• On the joint distribution of the maximum and its location for a linear diffusion
• Ruin Probabilities for Levy Processes with Mixed-Exponential Negative Jumps

Cited in

(2)

• Joint distributions of the maximum and the process for higher-order diffusions.
• Distributions of functionals of diffusions with jumps stopped at the location of the maximum or minimum

This page was built for publication: Distributions of the location of maximuma and minimuma for diffusions with jumps

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2452615)