Abstract
This chapter looks at extrema and boundary crossings for stationary and near-stationary 1-dimensional processes which are “locally Brownian”. The prototype example is the Ornstein-Uhlenbeck process, which is both Gaussian and Markov. One can then generalize to non-Gaussian Markov processes (diffusions) and to non-Markov Gaussian processes; and then to more complicated processes for which these serve as approximations. In a different direction, the Ornstein-Uhlenbeck process is a time and space-change of Brownian motion, so that boundary-crossing problems for the latter can be transformed to problems for the former: this is the best way to study issues related to the law of the iterated logarithm.
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© 1989 Springer Science+Business Media New York
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Aldous, D. (1989). Extremes of Locally Brownian Processes. In: Probability Approximations via the Poisson Clumping Heuristic. Applied Mathematical Sciences, vol 77. Springer, New York, NY. https://doi.org/10.1007/978-1-4757-6283-9_4
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DOI: https://doi.org/10.1007/978-1-4757-6283-9_4
Publisher Name: Springer, New York, NY
Print ISBN: 978-1-4419-3088-0
Online ISBN: 978-1-4757-6283-9
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