Time and place of the maximum for one-dimensional diffusion bridges and meanders

DOI10.1214/18-PS312zbMath1480.60238arXiv1807.08808MaRDI QIDQ2039761

Robin Khanfir

Publication date: 5 July 2021

Published in: Probability Surveys (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1807.08808

zbMATH Keywords

Bessel processdivergent seriesskew Brownian motionextremal valuemeanderBrownian scalingdiffusion bridgeagreement formula

Mathematics Subject Classification ID

Brownian motion (60J65) Diffusion processes (60J60)

Uses Software

• DLMF
• k.c

Cites Work

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• Semi-stable Markov processes. I
• Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹

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