Accession Number:

ADP006618

Title:

A Central Limit Theorem for Extreme Sojourns of Diffusion,

Descriptive Note:

Corporate Author:

NEW YORK UNIV NY COURANT INST OF MATHEMATICAL SCIENCES

Personal Author(s):

Report Date:

1992-03-01

Pagination or Media Count:

3.0

Abstract:

LetXt,t O, be a diffusion process on the real line and, for be the sojourn time of Xs,O above the level u, that is, the measure of the set The main result is a central limit theorem for the random variable Ltu, for t and a class of functions u. The conditions in the hypothesis of the theorem are stated in terms of the coefficient functions in the infinitesmal generator of the process, namely, the coefficients of diffusion and drift, denoted as ax and bx, respectively. The conditions that are employed imply, in particular, that there is a stationary proba distribution for this process. the case of a constant level u, the validity of the central limit theorem was established long ago Maruyama and Tanaka, 1957.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE