On density functions related to discrete time maximum of some one-dimensional diffusion processes

DOI10.1016/j.amc.2022.127672OpenAlexW4308945131MaRDI QIDQ2101959

Tomonori Nakatsu

Publication date: 7 December 2022

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2022.127672

zbMATH Keywords

asymptotic behaviorMalliavin calculusdiffusion processprobability density functionLaplace's methoddiscrete time maximum

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Diffusion processes (60J60) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (1)

Some properties of density functions on maxima of solutions to one-dimensional stochastic differential equations

Cites Work

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