Maximum and minimum of one-dimensional diffusions

DOI10.1016/0304-4149(82)90002-3MaRDI QIDQ1165523zbMATH OpenOpenAlexWikidataFDO

Authors Richard A. Davis

Publication date 1982

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

Full work available at URL https://doi.org/10.1016/0304-4149(82)90002-3

zbMATH Keywords

distributionOrnstein-Uhlenbeck processextreme valuetime changerecurrent diffusion

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Diffusion processes (60J60) Stochastic processes (60G99)

Cites work

• scientific article; zbMATH DE number 3206627 (Why is no real title available?)
• scientific article; zbMATH DE number 3287297 (Why is no real title available?)
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• Asymptotic Properties of Gaussian Processes
• Limiting Distribution of the Maximum of a Diffusion Process
• Maxima and High Level Excursions of Stationary Gaussian Processes
• On some global measures of the deviations of density function estimates
• Sur la distribution limite du terme maximum d'une série aléatoire
• Upcrossing Probabilities for Stationary Gaussian Processes

Cited in

(11)

• Maxima of stochastic processes driven by fractional Brownian motion
• On point measures of \(\varepsilon\)-upcrossings for stationary diffusions.
• Information theory for maximum likelihood estimation of diffusion models
• Heavy-traffic extreme value limits for Erlang delay models
• Uniform convergence rates of kernel-based nonparametric estimators for continuous time diffusion processes: a damping function approach
• Sequential detection of common transient signals in high dimensional data stream
• Volatility regressions with fat tails
• Extremes of weighted Brownian bridges in increasing dimension
• Asymptotics for recurrent diffusions with application to high frequency regression
• ESTIMATION OF VALUE AT RISK AND RUIN PROBABILITY FOR DIFFUSION PROCESSES WITH JUMPS
• An asymptotic analysis of likelihood-based diffusion model selection using high frequency data

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