Maximum and minimum of one-dimensional diffusions
نویسندگان
چکیده
منابع مشابه
Decomposition at the Maximum for Excursions and Bridges of One-dimensional Diffusions∗
In his fundamental paper [25], Itô showed how to construct a Poisson point process of excursions of a strong Markov process X over time intervals when X is away from a recurrent point a of its statespace. The point process is parameterized by the local time process of X at a. Each point of the excursion process is a path in a suitable space of possible excursions of X, starting at a at time 0, ...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 1982
ISSN: 0304-4149
DOI: 10.1016/0304-4149(82)90002-3