Properties of kagi and renko moments for homogeneous diffusion processes |
| |
Authors: | M A Spiryaev |
| |
Institution: | 1. Moscow State University, Moscow, Russia
|
| |
Abstract: | For a homogeneous diffusion process (X t ) t?0, we consider problems related to the distribution of the stopping times $\begin{gathered} \gamma _{\max } = \inf \{ t \geqslant 0:\mathop {\sup }\limits_{s \leqslant t} X_s - X_t \geqslant H\} ,\gamma _{\min } = \inf \{ t \geqslant 0:X_t - \mathop {\inf }\limits_{s \leqslant t} X_s \geqslant H\} , \hfill \\ \kappa _0 = \inf \{ t \geqslant 0:\mathop {\sup }\limits_{s \leqslant t} X_s - \mathop {\inf }\limits_{s \leqslant t} X_s \geqslant H\} . \hfill \\ \end{gathered} $ . The results obtained are used to construct an inductive procedure allowing us to find the distribution of the increments of the process X between two adjacent kagi and renko instants of time. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|