Some properties of density functions on maxima of one-dimensional diffusion processes
Abstract
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 ]
Authors
- Tomonori Nakatsu (Shibaura Institute of Technology)
Topic Area
Stochastic Analysis
Session
PS » Poster Presentations (11:00 - Monday, 16th July)
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