On point measures of \(\varepsilon\)-upcrossings for stationary diffusions.

DOI10.1016/S0167-7152(02)00400-5zbMath1039.60071MaRDI QIDQ1424455

Bronius Grigelionis

Publication date: 14 March 2004

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

Extreme value theoryPoisson point measure\(H\)-diffusionsErgodic diffusion processPoint measures of \(\varepsilon\)-upcrossings

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Diffusion processes (60J60)

Cites Work

• Maximum and minimum of one-dimensional diffusions
• Extremal behavior of diffusion models in finance
• A hyperbolic diffusion model for stock prices
• Generalized Hyperbolic Diffusion Processes with Applications in Finance
• On solutions of one-dimensional stochastic differential equations without drift
• Limiting Distribution of the Maximum of a Diffusion Process
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