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A central limit theorem for extreme sojourns of diffusion processes

 

作者: M.Berman Simeon,  

 

期刊: Stochastic Analysis and Applications  (Taylor Available online 1993)
卷期: Volume 11, issue 4  

页码: 399-422

 

ISSN:0736-2994

 

年代: 1993

 

DOI:10.1080/07362999308809324

 

出版商: Marcel Dekker, Inc.

 

数据来源: Taylor

 

摘要:

LetX(t),t≥0, be a real-valued diffusion process having a stationary probability measure. For an increasing functionu(t),(s) >u(t.) It is .shown, under general conditions on the diffusion coefficients, that ifat a sufficiently slow rate, thenhas, for, a limiting normal distribution. The rate of increaseofu(t) is stated in terms of the scalefunctionS(x) associated with the generator of the process;u(t) must satisfy, for. This complements an earlier result (Berman, 1988) in the case S(u(t)−t.where it was shown that there is a function vet) such thatv(t)L(t) has a particular limiting compound Poisson distribution

 

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