Extremes of diffusions over fixed intervals (Q1312308)
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scientific article; zbMATH DE number 493307
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Extremes of diffusions over fixed intervals |
scientific article; zbMATH DE number 493307 |
Statements
Extremes of diffusions over fixed intervals (English)
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31 January 1994
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Let \((X(t))\) be a time homogeneous real valued regular diffusion process. Various collections of conditions under which \(\mathbb{P}\{\sup_{0\leq t\leq h}X(t)>u\}\sim\text{Const.}\cdot\mathbb{P}\{X(h)>u\}\) as \(u\to\infty\) are given.
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extrema
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Brownian motion
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branching diffusion
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Bessel process
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diffusion process
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