DIFFUSION HITTING TIMES AND THE BELL-SHAPE

Jedidi, Wissem; Simon, Thomas

Document type :

Pré-publication ou Document de travail

Title :

DIFFUSION HITTING TIMES AND THE BELL-SHAPE

Author(s) :

Jedidi, Wissem [Auteur]
Université de Tunis El Manar [UTM]
King Saud University [Riyadh] [KSU]
Simon, Thomas [Auteur]

Laboratoire de Physique Théorique et Modèles Statistiques [LPTMS]
Laboratoire Paul Painlevé - UMR 8524 [LPP]

English keyword(s) :

Bell-shape
Exponential mixture
Generalized diffusion
Hitting time
Speed measure

HAL domain(s) :

Mathématiques [math]/Probabilités [math.PR]

English abstract : [en]

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 ...
Show more >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.Show less >

Language :

Anglais

Comment :

To appear.

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