On a first hit distribution of the running maximum of Brownian motion

DOI10.1016/J.SPA.2021.12.015MaRDI QIDQ2145826zbMATH OpenOpenAlexWikidataFDO

Authors Julien Randon-Furling, Paavo Salminen, Pierre Vallois

Publication date 20 June 2022

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2103.08358

zbMATH Keywords

Brownian motionexcursionintegral equationpath transformationspectrally negative Lévy processsubordinator

Mathematics Subject Classification ID

Sample path properties (60G17) Stopping times; optimal stopping problems; gambling theory (60G40) Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52) Brownian motion (60J65)

Abstract: Let $(S_t{)}_{tgeq0}$ be the running maximum of a standard Brownian motion $(B_t{)}_{tgeq0}$ and $T_m:=inft;,m{S}_t<t,,m>0$. In this note we calculate the joint distribution of $T_m$ and $B_{T_m}$. The motivation for our work comes from a mathematical model for animal foraging. We also present results for Brownian motion with drift.

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Cited in

(9)

• Span observables: ``when is a foraging rabbit no longer hungry?
• An arctangent law
• Maximum of \(N\) independent Brownian walkers till the first exit from the half-space
• scientific article; zbMATH DE number 1527798 (Why is no real title available?)
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• Distribution of the time at which the deviation of a Brownian motion is maximum before its first-passage time
• Lévy models amenable to efficient calculations
• On maximum increase and decrease of Brownian motion

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