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Extremes of diffusions over fixed intervals

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  • Albin, J. M. P.

Abstract

Let X(t) be a one-dimensional diffusion process. We give conditions under which P{sup0[less-than-or-equals, slant]t[less-than-or-equals, slant]hX(t) > u} [approximate] const. x P{X(h) > u} as u --> [infinity].

Suggested Citation

  • Albin, J. M. P., 1993. "Extremes of diffusions over fixed intervals," Stochastic Processes and their Applications, Elsevier, vol. 48(2), pages 211-235, November.
    • Handle: RePEc:eee:spapps:v:48:y:1993:i:2:p:211-235
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    Cited by:

    1. Albin, J. M. P., 1995. "Upper and lower classes for 2 - and p-norms of Brownian motion and norms of [alpha]-stable motion," Stochastic Processes and their Applications, Elsevier, vol. 58(1), pages 91-103, July.
    2. Albin, J.M.P., 2008. "A continuous non-Brownian motion martingale with Brownian motion marginal distributions," Statistics & Probability Letters, Elsevier, vol. 78(6), pages 682-686, April.

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