Abstract
Let X(t), , be an Ito diffusion process on the real line. For u > 0 and t > 0, let Lt(u) be the Lebesgue measure of the set . Limit theorems are obtained for (i) the distribution of Lt(u) for u → ∞and fixed t, and (ii) the tail of the distribution of the random variable max[0, t]X(s). The conditions on the process are stated in terms of the drift and diffusion coefficients. These conditions imply the existence of a stationary distribution for the process.
Publisher
Cambridge University Press (CUP)
Subject
Applied Mathematics,Statistics and Probability
Cited by
32 articles.
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