Diffusion hitting times and the bell-shape

DOI10.1016/J.SPL.2015.03.008MaRDI QIDQ889019zbMATH OpenOpenAlexFDO

Authors Wissem Jedidi, Thomas Simon

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)

Abstract: Consider a generalized diffusion on R with speed measure m, in the natural scale. It is known that the conditional hitting times have a unimodal density function. We show that these hitting densities are bell-shaped if and only if m has infinitely many points of increase between the starting point and the hit point. This result can be viewed as a visual corollary to Yamazato's general factorization for diffusion hitting times.

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Cited in

(5)

• Moments and tails of hitting times of Bessel processes and convolutions of elementary mixtures of exponential distributions
• Characterisation of the class of bell-shaped functions
• Asymptotics and criticality for a space-dependent branching process
• A new class of bell-shaped functions
• Bell-shaped sequences

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