The last zero-crossing of an iterated brownian motion with drift

DOI10.1080/17442508.2019.1624752zbMATH Open1490.60224arXiv1803.00877OpenAlexW2963731929WikidataQ127738096 ScholiaQ127738096MaRDI QIDQ5086485FDOQ5086485

Authors: F. Iafrate, Enzo Orsingher 

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

Abstract: In this paper we consider the iterated Brownian motion ${}_{m{u}_2}^{m{u}_1}!I(t)=B_1^{m{u}_1}(|B_2^{m{u}_2}(t)|)$ where $B_j^{m{u}_j},j=1,2$ are two independent Brownian motions with drift $m{u}_j$. Here we study the last zero crossing of ${}_{m{u}_2}^{m{u}_1}!I(t)$ and for this purpose we derive the last zero-crossing distribution of the drifted Brownian motion. We derive also the joint distribution of the last zero crossing before $t$ and of the first passage time through the zero level of a Brownian motion with drift $mu$ after $t$. All these results permit us to derive explicit formulas for ${}^I{}_{m}u{T}_0=sups<ma{x}_{0leqzleqt}|B_2(z)|:B_1^{m}u(s)=0$. Also the iterated zero-crossing ${{}^{m{u}_1}T}_{0,{{}^{m{u}_2}T}_{0,t}}$ is analyzed and extended to the case where the level of nesting is arbitrary.

Full work available at URL: https://arxiv.org/abs/1803.00877

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zbMATH Keywords

confluent hypergeometric functionsiterated arcsine lawjoint maximal and minimal distributions

Mathematics Subject Classification ID

Brownian motion (60J65)

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Cited In (4)

• Drifted Brownian motions governed by fractional tempered derivatives
• Elastic drifted Brownian motions and non-local boundary conditions
• Independent factorization of the last zero arcsine law for Bessel processes with drift
• Asymptotic results for the last zero crossing time of a Brownian motion with non-null drift

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