A central limit theorem for extreme sojourns of diffusion processes

DOI10.1080/07362999308809324zbMath0780.60048OpenAlexW2090107821MaRDI QIDQ4273022

Simeon M. Berman

Publication date: 30 January 1994

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362999308809324

zbMATH Keywords

diffusion processcentral limit theoremcompound Poisson distributionstationary probability measureextreme sojourns

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Diffusion processes (60J60)

Cites Work

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• Extreme sojourns of diffusion processes
• A compound Poisson limit for stationary sums, and sojourns of Gaussian processes
• Sojourns and extremes of a diffusion process on a fixed interval
• High level sojourns of a diffusion process on a long interval
• The First Passage Problem for a Continuous Markov Process

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