Boundary-crossing identities for diffusions having the time-inversion property (Q966509): Difference between revisions

A one-parameter family of functional transformations, denoted by \((S^{(\beta)})_{\beta \in \mathbb R}\), is reviewed and studied, which, in the case \(\beta <0\), provides a path realization of bridges associated to the family of diffusion processes enjoying the time-inversion property. This family includes Brownian motions, Bessel processes with a positive dimension and their conservative \(h\)-transforms. By means of these transformations, an explicit and simple expression is derived which relates the law of the boundary-crossing times for these diffusions over a given function \(f\) to those over the image of \(f\) by the mapping \(S ^{(\beta )}\), for some fixed \(\beta \in {\mathbb R}\). Some new examples of boundary-crossing problems are given for the Brownian motion and the family of Bessel processes. In the Brownian case, an interpretation of the results obtained by the standard method of images is also provided and connections are established between the exact asymptotics for large time of the densities corresponding to various curves of each family.