Stochastic extrema as stationary phases of characteristic functions
Probability
2008-01-31 v1 Statistics Theory
Applications
Statistics Theory
Abstract
The paper is dealing with semi-classical asymptotics of a characteristic function for a stochastic process. The main technical tool is provided by the stationary phase method. The extremal range for a stochastic process is defined by limit values of the complex logarithm of the characteristic function. The paper also outlines a numerical method for calculating stochastic extrema.
Keywords
Cite
@article{arxiv.0801.4726,
title = {Stochastic extrema as stationary phases of characteristic functions},
author = {S. Nikitin},
journal= {arXiv preprint arXiv:0801.4726},
year = {2008}
}