Some remarks on the maximum of a one-dimensional diffusion process

zbMATH Open1136.60356MaRDI QIDQ5454096FDOQ5454096

Mario Abundo

Publication date: 3 April 2008

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zbMATH Keywords

Brownian motionrandom time-changefirst-crossing time

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited In (9)

• On density functions related to discrete time maximum of some one-dimensional diffusion processes
• Asymptotics of supremum distribution of a Gaussian process over a Weibullian time
• Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility
• Many maximum excursions for elliptic diffusion processes
• Asymptotic of the running maximum distribution of a Gaussian Bridge
• ON ONE-DIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS INVOLVING THE MAXIMUM PROCESS
• On the joint distribution of the maximum and its location for a linear diffusion
• Diffusion arrêtée au premier instant où l'amplitude atteint un niveau donné
• On the first-passage times of certain Gaussian processes, and related asymptotics

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