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- W2950056406 abstract "We consider a sequence $(xi_n)_{nge1}$ of $i.i.d.$ random values living in the domain of attraction of an extreme value distribution. For such sequence, there exists $(a_n)$ and $(b_n)$, with $a_n>0$ and $b_ninER$ for every $nge 1$, such that the sequence $(X_n)$ defined by $X_n=(max(xi_1,...,xi_n)-b_n)/a_n$ converges in distribution to a non degenerated distribution. In this paper, we show that $(X_n)$ can be viewed as an Euler scheme with decreasing step of an ergodic Markov process solution to a SDE with jumps and we derive a functional limit theorem for the sequence $(X_n)$ from some methods used in the long time numerical approximation of ergodic SDE's." @default.
- W2950056406 created "2019-06-27" @default.
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- W2950056406 date "2009-10-01" @default.
- W2950056406 modified "2023-09-27" @default.
- W2950056406 title "A connection between extreme value theory and long time approximation of SDE's" @default.
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