Sojourns and extremes of a diffusion process on a fixed interval

DOI10.2307/1427025MaRDI QIDQ3957744zbMATH OpenOpenAlexFDO

Authors Simeon M. Berman

Publication date 1982

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1427025

zbMATH Keywords

limit distributionmaximum valuesojourn time

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Gaussian processes (60G15) Diffusion processes (60J60)

Cited in

(14)

• A theorem of Galambos-Bojanić-Seneta type
• The supremum of a process with stationary independent and symmetric increments
• Limit laws for Brownian motion conditioned to reach a high level
• Extremes of diffusions over fixed intervals
• Subexponentiality of the product of independent random variables
• Extrema of a Gaussian random field: Berman's sojourn time method
• Asymptotic properties of absolutely continuous functions and strong laws of large numbers for renewal processes
• Local precise large and moderate deviations for sums of independent random variables
• A central limit theorem for extreme sojourns of diffusion processes
• High level sojourns of a diffusion process on a long interval
• Strong asymptotic equivalence and inversion of functions in the class \(K_c\)
• scientific article; zbMATH DE number 7708735 (Why is no real title available?)
• Classical Karamata theory of regular variability and the index function operator
• On preserving the limit points of corresponding objects

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