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 motionintegral equationsubordinatorexcursionpath transformationspectrally negative Lévy process

Mathematics Subject Classification ID

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

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

(8)

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