The arctangent law for a certain random time related to one-dimensional diffusions

DOI10.1080/07362994.2017.1387565MaRDI QIDQ4607795zbMATH OpenOpenAlexFDO

Authors Mario Abundo

Publication date 14 March 2018

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1702.08700

zbMATH Keywords

first-passage timeone-dimensional diffusionmaximum value in an interval

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

Abstract: For a time-homogeneous, one-dimensional diffusion process $X(t),$ we investigate the distribution of the first instant, after a given time $r,$ at which $X(t)$ exceeds its maximum on the interval $[0,r],$ generalizing a result of Papanicolaou, which is valid for Brownian motion.

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Cites work

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• An arctangent law
• An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion
• An inverse first-passage problem for one-dimensional diffusions with random starting point
• On the excursions of drifted Brownian motion and the successive passage times of Brownian motion
• The mean of the running maximum of an integrated Gauss-Markov process and the connection with its first-passage time

Cited in

(7)

• Can time-homogeneous diffusions produce any distribution?
• An arctangent law
• Some remarks on the maximum of a one-dimensional diffusion process
• The Wronskian parametrises the class of diffusions with a given distribution at a random time
• A Pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative Markov processes, until a generalized draw-down time
• Diffusion arrêtée au premier instant où l'amplitude atteint un niveau donné
• On the maximum increase and decrease of one-dimensional diffusions

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