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

DOI10.1016/J.SPA.2021.12.015zbMATH Open1491.60145arXiv2103.08358OpenAlexW3136737219WikidataQ114130751 ScholiaQ114130751MaRDI QIDQ2145826FDOQ2145826

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)

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.

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

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zbMATH Keywords

Brownian motionintegral equationsubordinatorexcursion[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=spectrally+negative+L%EF%BF%BD%EF%BF%BDvy+process&go=Go spectrally negative L��vy process]path transformation

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)

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Cited In (8)

• Title not available (Why is that?)
• An arctangent law
• Covariance of the running range of a Brownian trajectory
• On maximum increase and decrease of Brownian motion
• Title not available (Why is that?)
• Distribution of the time at which the deviation of a Brownian motion is maximum before its first-passage time
• Span observables: ``when is a foraging rabbit no longer hungry?
• Maximum of \(N\) independent Brownian walkers till the first exit from the half-space

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