For a time-homogenous one-dimensional diffusion process X (t), we investigate the distribution of the first instant, after a given time r, at which X (t) exceeds its maximum in the interval [0, r], generalizing a result of Papanicolaou, holding for Brownian motion
Abundo, M. (2018). The arctangent law for a certain random time related to one-dimensional diffusions. STOCHASTIC ANALYSIS AND APPLICATIONS, 36(1), 181-187 [10.1080/07362994.2017.1387565].
The arctangent law for a certain random time related to one-dimensional diffusions.
Abundo Mario
2018-01-01
Abstract
For a time-homogenous one-dimensional diffusion process X (t), we investigate the distribution of the first instant, after a given time r, at which X (t) exceeds its maximum in the interval [0, r], generalizing a result of Papanicolaou, holding for Brownian motionFile in questo prodotto:
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