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

DOI10.1080/07362994.2017.1387565zbMATH Open1382.60102arXiv1702.08700OpenAlexW2963117389MaRDI QIDQ4607795FDOQ4607795

Authors: Mario Abundo 

Publication date: 14 March 2018

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

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.

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

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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)

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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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