On the maximum increase and decrease of one-dimensional diffusions
Sign Up to like & getrecommendations! Published in 2020 at "Stochastic Processes and their Applications"
DOI: 10.1016/j.spa.2020.04.001
Abstract: Abstract 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… read more here.
Keywords: one dimensional; decrease; increase decrease; decrease one ... See more keywords