Maximum and minimum of one-dimensional diffusions
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- Laurent Denis & Begoña Fernández & Ana Meda, 2009. "Estimation Of Value At Risk And Ruin Probability For Diffusion Processes With Jumps," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 281-302, April.
- Kim, Jihyun & Park, Joon Y., 2017. "Asymptotics for recurrent diffusions with application to high frequency regression," Journal of Econometrics, Elsevier, vol. 196(1), pages 37-54.
- Choi, Hwan-sik & Jeong, Minsoo & Park, Joon Y., 2014. "An asymptotic analysis of likelihood-based diffusion model selection using high frequency data," Journal of Econometrics, Elsevier, vol. 178(P3), pages 539-557.
- Choi, Hwan-sik, 2016. "Information theory for maximum likelihood estimation of diffusion models," Journal of Econometrics, Elsevier, vol. 191(1), pages 110-128.
- Grigelionis, Bronius, 2003. "On point measures of [var epsilon]-upcrossings for stationary diffusions," Statistics & Probability Letters, Elsevier, vol. 61(4), pages 403-410, February.
- Ohad Perry & Ward Whitt, 2013. "A Fluid Limit for an Overloaded X Model via a Stochastic Averaging Principle," Mathematics of Operations Research, INFORMS, vol. 38(2), pages 294-349, May.
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KeywordsRecurrent diffusion maximum and minimum scale function Ornstein-Uhlenbeck process speed measure extreme value distribution;
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