Extremes of diffusions over fixed intervals

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].

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Year of publication:	1993
Authors:	Albin, J. M. P.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 48.1993, 2, p. 211-235
Publisher:	Elsevier
Keywords:	extrema diffusion Brownian motion branching diffusion Bessel process Ornstein-Uhlenbeck process

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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