Extreme Time of Stochastic Processes with Stationary Independent Increments
Greenwood, Priscilla
Ann. Probab., Tome 3 (1975) no. 6, p. 664-676 / Harvested from Project Euclid
Let $\{S_n = \sum^n_{i=1} Y_i\}$ or $\{X_t, t \geqq 0\}$ be a stochastic process with stationary independent increments, and let $T^+(\tau), T^-(\tau)$ be the times elapsed until the process has spent time $\tau$ at its maximum and minimum respectively, defined in terms of local time when necessary. Bounds in terms of moments of $Y_1$ or $X_1$ are given for $E(\min (T^+(\tau), T^-(\tau)))$. The discrete case is studied first and the result for continuous-time processes is obtained by a limiting argument. As an auxiliary it is shown that the local time at zero of a process $X_t$ minus its maximum can be approximated uniformly in probability using the number of new maxima attained by the process observed at discrete times.
Publié le : 1975-08-14
Classification:  Maximal process,  local time,  stopping times,  random walk,  moment conditions,  60G40,  60J55
@article{1176996307,
     author = {Greenwood, Priscilla},
     title = {Extreme Time of Stochastic Processes with Stationary Independent Increments},
     journal = {Ann. Probab.},
     volume = {3},
     number = {6},
     year = {1975},
     pages = { 664-676},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176996307}
}
Greenwood, Priscilla. Extreme Time of Stochastic Processes with Stationary Independent Increments. Ann. Probab., Tome 3 (1975) no. 6, pp.  664-676. http://gdmltest.u-ga.fr/item/1176996307/