Intermediate-level crossings of a first-passage path

Abstract: We investigate some simple and surprising properties of a one-dimensional Brownian trajectory with diffusion coefficient

D

that starts at the origin and reaches

X

either: (i) at time

T

or (ii) for the first time at time

T

. We determine the most likely location of the first-passage trajectory from

(0, 0)

to

(X, T)

and its distribution at any intermediate time

t < T

. A first-passage path typically starts out by being repelled from its final location when

X^{2} / D T l l 1

. We also determine the distribution of times when the trajectory first crosses and last crosses an arbitrary intermediate position

x < X

. The distribution of first-crossing times may be unimodal or bimodal, depending on whether

X^{2} / D T l l 1

or

X^{2} / D T g g 1

. The form of the first-crossing probability in the bimodal regime is qualitatively similar to, but more singular than, the well-known arcsine law.

Recommendations

Cites work

Cited in

(3)

This page was built for publication: Intermediate-level crossings of a first-passage path