Diffusion hitting times and the bell-shape

DOI10.1016/j.spl.2015.03.008zbMath1333.60172arXiv1503.08549OpenAlexW2128003255MaRDI QIDQ889019

Thomas Simon, Wissem Jedidi

Publication date: 5 November 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.08549

zbMATH Keywords

hitting timesexponential mixturegeneralized diffusionspeed measurebell-shape

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Diffusion processes (60J60)

Related Items (4)

Characterisation of the class of bell-shaped functions ⋮ Bell-shaped sequences ⋮ Moments and tails of hitting times of Bessel processes and convolutions of elementary mixtures of exponential distributions ⋮ A new class of bell-shaped functions

Cites Work

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• Unimodality of passage times for one-dimensional strong Markov processes
• Generalized gamma convolutions and related classes of distributions and densities
• First hitting time models for the generalized inverse Gaussian distribution
• Smooth first-passage densities for one-dimensional diffusions
• Hitting time distributions of single points for 1-dimensional generalized diffusion processes
• Positive stable densities and the bell-shape
• Bernstein functions. Theory and applications

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