Some properties of density functions on maxima of one-dimensional diffusion processes


In the talk, we shall deal with one-dimensional stochastic differential equations (SDEs), and consider discrete and continuous time maximum of the solution. We will show some important properties of their probability density... [ view full abstract ]


  1. Tomonori Nakatsu (Shibaura Institute of Technology)

Topic Area

Stochastic Analysis


PS » Poster Presentations (11:00 - Monday, 16th July)

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