Abstrakti
In this paper the joint distribution of the maximum increase and the maximum decrease up to a first hitting time is calculated for a regular one-dimensional diffusion. Moreover, it is shown that the process given by the maximum decrease when the hitting level is the "time" parameter is a pure jump Markov process and its generator is found. As examples, Brownian motion and three dimensional Bessel process are analyzed more in detail.
Julkaisun otsikon käännös | On maximum increase and decrease of one-dimensional diffusions |
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Alkuperäiskieli | Englanti |
Sivut | 5592-5604 |
Sivumäärä | 13 |
Julkaisu | Stochastic Processes and their Applications |
Vuosikerta | 130 |
Numero | 9 |
DOI - pysyväislinkit | |
Tila | Julkaistu - 9 syysk. 2020 |
OKM-julkaisutyyppi | A1 Julkaistu artikkeli, soviteltu |