Upper and lower limits of doubly perturbed Brownian motion
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Publication:1978134
DOI10.1016/S0246-0203(00)00123-0zbMath0969.60082OpenAlexW2167825804MaRDI QIDQ1978134
Ronald Arthur Doney, Yue Yun Hu, Loïc Chaumont
Publication date: 23 September 2001
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Full work available at URL: http://www.numdam.org/item?id=AIHPB_2000__36_2_219_0
Related Items (12)
ON ONE-DIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS INVOLVING THE MAXIMUM PROCESS ⋮ Numerical solutions of doubly perturbed stochastic delay differential equations driven by Lévy process ⋮ Strong convergence of Euler-Maruyama schemes for doubly perturbed McKean-Vlasov stochastic differential equations ⋮ Rate of convergence of the perturbed diffusion process to its unperturbed limit ⋮ Approximate solutions for a class of doubly perturbed stochastic differential equations ⋮ Explicit Laws for the Records of the Perturbed Random Walk on ℤ $$\mathbb {Z}$$ ⋮ Minimizing the time to a decision ⋮ Approximation of Euler-Maruyama for one-dimensional stochastic differential equations involving the maximum process ⋮ Doubly perturbed neutral diffusion processes with Markovian switching and Poisson jumps ⋮ Doubly perturbed jump-diffusion processes ⋮ Convergence of random walks with Markovian cookie stacks to Brownian motion perturbed at extrema ⋮ A lifetime of excursions through random walks and Lévy processes
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