Extremes of diffusions over fixed intervals

DOI10.1016/0304-4149(93)90045-6MaRDI QIDQ1312308zbMATH OpenOpenAlexFDO

Authors J. M. P. Albin

Publication date 31 January 1994

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(93)90045-6

zbMATH Keywords

Bessel processbranching diffusionBrownian motiondiffusion processextrema

Mathematics Subject Classification ID

Sample path properties (60G17) Diffusion processes (60J60)

Review text

Let \((X(t))\) be a time homogeneous real valued regular diffusion process. Various collections of conditions under which \(\mathbb{P}\{\sup_{0\leq t\leq h}X(t)>u\}\sim\text{Const.}\cdot\mathbb{P}\{X(h)>u\}\) as \(u\to\infty\) are given.

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Cited in

(4)

• Upper and lower classes for \(\mathbb{L}^ 2\)- and \(\mathbb{L}^ p\)-norms of Brownian motion and norms of \(\alpha\)-stable motion
• A continuous non-Brownian motion martingale with Brownian motion marginal distributions
• Extreme value distributions of noncolliding diffusion processes
• Extreme hitting probabilities for diffusion*

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