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arXiv · 0801.4726

Stochastic extrema as stationary phases of characteristic functions

S. Nikitin
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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.

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BibTeXRIS

S. Nikitin. 2008-01-30. Stochastic extrema as stationary phases of characteristic functions. https://arxiv.org/abs/0801.4726

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