On the maximum of a one-dimensional diffusion

zbMATH Open1293.60077MaRDI QIDQ5405642FDOQ5405642

Authors Yuji Kasahara, Kosuke Kumanda

Publication date 2 April 2014

zbMATH Keywords

asymptotic behaviormaximum processpositive recurrent diffusions

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Diffusion processes (60J60)

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Cited in

(5)

• On density functions related to discrete time maximum of some one-dimensional diffusion processes
• Limiting distribution of the maximum of a null recurrent diffusion process
• ON ONE-DIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS INVOLVING THE MAXIMUM PROCESS
• Some remarks on the maximum of a one-dimensional diffusion process
• On the joint distribution of the maximum and its location for a linear diffusion

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