Stochastic integral representations of the extrema of time-homogeneous diffusion processes

DOI10.1007/S11009-015-9467-2zbMath1352.60113OpenAlexW2183631176MaRDI QIDQ340115

Runhuan Feng

Publication date: 11 November 2016

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-015-9467-2

zbMATH Keywords

martingale representationItō formularunning extremumstochastic integral representationtime-homogeneous diffusion processes

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Sample path properties (60G17) Stochastic integrals (60H05)

Uses Software

• DLMF

Cites Work

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