Extremes of diffusions over fixed intervals
type: Item
instance of: scholarly article
title: Extremes of diffusions over fixed intervals
zbMATH Open document ID: 0793.60088
DOI: 10.1016/0304-4149(93)90045-6
author: J. M. P. Albin
published in: Stochastic Processes and their Applications
publication date: 1994-01-31T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 60G17
zbMATH DE Number: 493307
zbMATH Keywords: extrema
zbMATH Keywords: Brownian motion
zbMATH Keywords: branching diffusion
zbMATH Keywords: Bessel process
zbMATH Keywords: diffusion process
reviewed by: S. A. Solntsev
MaRDI profile type: Publication
full work available at URL: 0304-4149(93)90045-6
OpenAlex ID: W2095315652
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description: scientific article; zbMATH DE number 493307