Limiting Distribution of the Maximum of a Diffusion Process

DOI10.1214/AOMS/1177703754MaRDI QIDQ5338462zbMATH OpenOpenAlexFDO

Authors Simeon M. Berman

Publication date 1964

Published in Annals of Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aoms/1177703754

zbMATH Keywords

probability theory

Cited in

(10)

• Maximum and minimum of one-dimensional diffusions
• On point measures of -upcrossings for stationary diffusions.
• On the extreme values of \(M/M/m\) queueing systems
• An asymptotic analysis of likelihood-based diffusion model selection using high frequency data
• High level sojourns of a diffusion process on a long interval
• On the distribution of winners’ scores in a round-robin tournament
• On outstanding values in a sequence of random variables
• Sequential detection of common transient signals in high dimensional data stream
• Correction to: ``On the distribution of winners' scores in a round-robin tournament
• Information theory for maximum likelihood estimation of diffusion models

This page was built for publication: Limiting Distribution of the Maximum of a Diffusion Process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5338462)