Extremes of diffusions over fixed intervals
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.
scientific article; zbMATH DE number 493307
scientific article